From Bachelier to Dupire via optimal transport (Q2072111)
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scientific article; zbMATH DE number 7467510
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | From Bachelier to Dupire via optimal transport |
scientific article; zbMATH DE number 7467510 |
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From Bachelier to Dupire via optimal transport (English)
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1 February 2022
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Bachelier
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Dupire's formula
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Kellerer's theorem
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optimal transport
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martingales
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peacocks
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0.730800986289978
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0.7276573777198792
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0.7265475988388062
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