The maximum maximum of a martingale with given \(n\) marginals (Q259564): Difference between revisions
From MaRDI portal
Added link to MaRDI item. |
Set profile property. |
||
| Property / MaRDI profile type | |||
| Property / MaRDI profile type: MaRDI publication profile / rank | |||
Normal rank | |||
Revision as of 23:51, 4 March 2024
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)
0 references
11 March 2016
0 references
maximum process
0 references
martingales
0 references
robust pricing
0 references
hedging
0 references
volatility uncertainty
0 references
optimal transportation
0 references
optimal control
0 references
pathwise inequalities
0 references
lookback option
0 references
