An explicit martingale version of the one-dimensional Brenier’s Theorem with full marginals constraint

Author:

Henry-Labordère Pierre,Tan Xiaolu,Touzi Nizar

Funder

ERC

ANR Isotace

Chairs Financial Risks

Finance and Sustainable Development

Publisher

Elsevier BV

Subject

Applied Mathematics,Modeling and Simulation,Statistics and Probability

Reference71 articles.

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3. M. Beiglböck, A. Cox, M. Huesmann, Optimal transport and Skorokhod embedding, Preprint, 2013.

4. M. Beiglböck, A. Cox, M. Huesmann, N. Perkowsky, J. Promel, Pathwise super-hedging via Vovk’s outer measure, Preprint, 2015.

5. Model-independent bounds for option prices: A mass-transport approach;Beiglböck;Finance Stoch.,2013

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