Model-Independent Finance,Optimal Transport and Skorokhod Embedding

来源 :第八届工业与应用数学国际大会 | 被引量 : 0次 | 上传用户：cj1314810814

【摘要】

：

　　Motivated by problems in model-independent finance,different Brenier-type martingale transport plans have been discovered by Hobson-Neuberger,Beiglböck-Jul

【作者】

：

StebeggFlorian;

【机构】

：

Universit(a)t Wien

【出处】

：

第八届工业与应用数学国际大会

【发表日期】

：

2015年期

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　　Motivated by problems in model-independent finance,different Brenier-type martingale transport plans have been discovered by Hobson-Neuberger,Beiglböck-Julliet,Henry-Labordere-Touzi.We will discuss a new,unifying approach that allows to strengthen the original results and establishes a novel connection with the Skorokhod embedding problem.

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Model-Independent Finance,Optimal Transport and Skorokhod Embedding

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