Martingale transport with homogeneous stock movements-Reference-Cited by-同舟云学术

Martingale transport with homogeneous stock movements

Published:2020-09-01 Issue:2 Volume:21 Page:271-280
ISSN:1469-7688
Container-title:Quantitative Finance
language:en
Short-container-title:Quantitative Finance

Author:

Eckstein Stephan¹,Kupper Michael¹

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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