On the support of extremal martingale measures with given marginals: the countable case

DOI10.1017/apr.2019.16zbMath1427.60072arXiv1607.07197OpenAlexW3123428590MaRDI QIDQ5203949

Luciano Campi, Claude Martini

Publication date: 9 December 2019

Published in: Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1607.07197

zbMATH Keywords

cycleextremal measuremartingale optimal transportmodel-free pricingweak predictable representation property

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Martingales with discrete parameter (60G42) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items

Robust statistical arbitrage strategies

Cites Work

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