On the stability of the martingale optimal transport problem: a set-valued map approach
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Publication:2244467
DOI10.1016/j.spl.2021.109131zbMath1477.49068arXiv2102.02718OpenAlexW3159458423MaRDI QIDQ2244467
Publication date: 12 November 2021
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2102.02718
Related Items (4)
Approximation of martingale couplings on the line in the adapted weak topology ⋮ Robust deep hedging ⋮ On intermediate marginals in martingale optimal transportation ⋮ Entropy martingale optimal transport and nonlinear pricing-hedging duality
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