The most exciting game
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Publication:6597221
DOI10.1214/24-ECP574zbMATH Open1547.91008MaRDI QIDQ6597221FDOQ6597221
Authors: Julio D. Backhoff Veraguas, Mathias Beiglböck 
Publication date: 3 September 2024
Published in: Electronic Communications in Probability (Search for Journal in Brave)
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Cites Work
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- Model-independent bounds for option prices -- a mass transport approach
- Robust bounds for forward start options
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- Optimal transport and Skorokhod embedding
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- Fine properties of the optimal Skorokhod embedding problem
- Complete duality for martingale optimal transport on the line
- Doob decomposition, Dirichlet processes, and entropies on Wiener space
- A scaling limit for utility indifference prices in the discretised Bachelier model
- Using prediction market data to illustrate undergraduate probability
- An invitation to optimal transport, Wasserstein distances, and gradient flows
- Shadow couplings
- Martingale Benamou-Brenier: a probabilistic perspective
- Optimal couplings on Wiener space and an extension of Talagrand's transport inequality
- On the specific relative entropy between martingale diffusions on the line
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