Martingale transport with homogeneous stock movements
Author:
Affiliation:
1. Department of Mathematics, University of Konstanz, Konstanz 78464, Germany
Publisher
Informa UK Limited
Subject
General Economics, Econometrics and Finance,Finance
Link
https://www.tandfonline.com/doi/pdf/10.1080/14697688.2020.1787493
Reference26 articles.
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2. Backhoff-Veraguas, J., Bartl, D., Beiglböck, M. and Eder, M., Adapted Wasserstein distances and stability in mathematical finance. arXiv preprint arXiv:1901.07450, 2019.
3. Super-replication with nonlinear transaction costs and volatility uncertainty
4. Robust expected utility maximization with medial limits
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