Computational methods for martingale optimal transport problems (Q2299581)
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scientific article
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| English | Computational methods for martingale optimal transport problems |
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Computational methods for martingale optimal transport problems (English)
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21 February 2020
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martingale optimal transport
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martingale relaxation
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robust hedging
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duality
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discretization of measure
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linear programming
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0.8235511183738708
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0.810218334197998
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0.8020098209381104
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0.7984554171562195
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0.7933900952339172
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