The left-curtain martingale coupling in the presence of atoms (Q2415517)

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The left-curtain martingale coupling in the presence of atoms
scientific article

    Statements

    title
    The left-curtain martingale coupling in the presence of atoms (English)
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    author
    David G. Hobson
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    Dominykas Norgilas
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    publication date
    22 May 2019
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    zbMATH Keywords
    martingale optimal transport
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    optimal stopping
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    model-independent pricing
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    American put
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    Identifiers

    DOI
    10.1214/18-AAP1450
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    Mathematics Subject Classification ID
    60G42
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    60G40
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    91G20
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    zbMATH DE Number
    7057470
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    arXiv ID
    1802.08337
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    OpenAlex ID
    W2963012338
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    Wikidata QID
    Q128340758
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