The maximum maximum of a martingale with given \(n\) marginals (Q259564): Difference between revisions
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maximum process | |||
| Property / zbMATH Keywords: maximum process / rank | |||
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martingales | |||
| Property / zbMATH Keywords: martingales / rank | |||
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robust pricing | |||
| Property / zbMATH Keywords: robust pricing / rank | |||
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hedging | |||
| Property / zbMATH Keywords: hedging / rank | |||
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volatility uncertainty | |||
| Property / zbMATH Keywords: volatility uncertainty / rank | |||
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optimal transportation | |||
| Property / zbMATH Keywords: optimal transportation / rank | |||
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optimal control | |||
| Property / zbMATH Keywords: optimal control / rank | |||
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pathwise inequalities | |||
| Property / zbMATH Keywords: pathwise inequalities / rank | |||
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lookback option | |||
| Property / zbMATH Keywords: lookback option / rank | |||
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Revision as of 13:05, 27 June 2023
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | The maximum maximum of a martingale with given \(n\) marginals |
scientific article |
Statements
The maximum maximum of a martingale with given \(n\) marginals (English)
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11 March 2016
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maximum process
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martingales
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robust pricing
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hedging
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volatility uncertainty
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optimal transportation
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optimal control
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pathwise inequalities
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lookback option
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