Open AccessOn the restriction of the optimal transportation problem to the set of martingale measures with uniform marginals
Author(s) -
José Maria L. Escaner,
Daryl Allen Saddi,
Jorge D. Salazar
Publication year - 2019
Publication title -
aip conference proceedings
Language(s) - English
Resource type - Conference proceedings
SCImago Journal Rank - 0.177
H-Index - 75
eISSN - 1551-7616
pISSN - 0094-243X
DOI - 10.1063/1.5139152
Subject(s) - martingale pricing , martingale (probability theory) , mathematical economics , mathematical finance , probability measure , mathematical optimization , local martingale , mathematics , risk neutral measure , a priori and a posteriori , asian option , measure (data warehouse) , valuation of options , computer science , econometrics , economics , finance , discrete mathematics , philosophy , epistemology , database
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