A stochastic control approach to no-arbitrage bounds given marginals, with an application to lookback options (Q2443194)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A stochastic control approach to no-arbitrage bounds given marginals, with an application to lookback options |
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A stochastic control approach to no-arbitrage bounds given marginals, with an application to lookback options (English)
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4 April 2014
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optimal control
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stochastic control
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volatility uncertainty
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convex duality
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continuous martingale
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optimal transportation
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superhedging
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lookback options
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