The maximum maximum of a martingale with given \(n\) marginals (Q259564)
From MaRDI portal
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
0 references
0 references
0 references
0 references
0 references
