The maximum maximum of a martingale with given \(n\) marginals (Q259564)
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scientific article; zbMATH DE number 6554514
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| English | The maximum maximum of a martingale with given \(n\) marginals |
scientific article; zbMATH DE number 6554514 |
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The maximum maximum of a martingale with given \(n\) marginals (English)
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11 March 2016
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maximum process
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martingales
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robust pricing
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hedging
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volatility uncertainty
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optimal transportation
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optimal control
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pathwise inequalities
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lookback option
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0.8315032720565796
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0.8315032720565796
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0.8189525008201599
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0.8120840191841125
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