The most exciting game
Author:
Affiliation:
1. University of Vienna, Austria
Publisher
Institute of Mathematical Statistics
Reference26 articles.
1. M. Beiglböck, P. Henry-Labordère, and F. Penkner. Model-independent bounds for option prices: A mass transport approach. Finance Stoch., 17(3):477–501, 2013.
2. A. Galichon, P. Henry-Labordère, and N. Touzi. A stochastic control approach to no-arbitrage bounds given marginals, with an application to lookback options. Ann. Appl. Probab., 24(1):312–336, 2014.
3. C. Villani. Optimal Transport. Old and New, volume 338 of Grundlehren der mathematischen Wissenschaften. Springer, 2009.
4. D. Aldous. notes, https://www.stat.berkeley.edu/~aldous/Research/OP/ent-MG.pdf.
5. D. Aldous. What is the max-entropy win-probability martingale? https://www.stat.berkeley.edu/~aldous/Research/OP/maxentmg.html.
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