An explicit martingale version of the one-dimensional Brenier theorem

DOI10.1007/s00780-016-0299-xzbMath1369.91181OpenAlexW2339312800MaRDI QIDQ309163

Pierre Henry-Labordère, Nizar Touzi

Publication date: 7 September 2016

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00780-016-0299-x

zbMATH Keywords

martingale optimal transport problemmodel-independent pricingrobust superreplication theorem

Mathematics Subject Classification ID

Variational problems in a geometric measure-theoretic setting (49Q20) Martingales with continuous parameter (60G44) Derivative securities (option pricing, hedging, etc.) (91G20)

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