Entropy martingale optimal transport and nonlinear pricing-hedging duality
DOI10.1007/s00780-023-00498-xOpenAlexW3031464360MaRDI QIDQ2697495
Marco Frittelli, Alessandro Doldi
Publication date: 12 April 2023
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2005.12572
martingale optimal transport problempricing-hedging dualityrobust financeentropy optimal transport problempathwise finance
Optimality conditions and duality in mathematical programming (90C46) Methods involving semicontinuity and convergence; relaxation (49J45) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) Martingales and classical analysis (60G46)
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