Instability of martingale optimal transport in dimension d≥2
Author:
Affiliation:
1. Universität Münster, Germany
2. Université de Strasbourg et CNRS, France
Publisher
Institute of Mathematical Statistics
Subject
Statistics, Probability and Uncertainty,Statistics and Probability
Reference22 articles.
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3. M. Beiglböck, B. Jourdain, W. Margheriti, and G. Pammer, Approximation of martingale couplings on the line in the adapted weak topology, Probability Theory and Related Fields (2022).
4. Mathias Beiglböck, Pierre Henry-Labordère, and Friedrich Penkner, Model-independent bounds for option prices—a mass transport approach, Finance Stoch. 17 (2013), no. 3, 477–501.
5. Mathias Beiglböck, Marcel Nutz, and Nizar Touzi, Complete duality for martingale optimal transport on the line, Ann. Probab. 45 (2017), no. 5, 3038–3074 (English).
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