Martingale Schrödinger bridges and optimal semistatic portfolios
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Publication:2111249
DOI10.1007/s00780-022-00490-xzbMath1503.91131arXiv2204.12250OpenAlexW4309927466MaRDI QIDQ2111249
Johannes Wiesel, Marcel Nutz, Long Zhao
Publication date: 28 December 2022
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2204.12250
Martingales with discrete parameter (60G42) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10)
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