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Abstract Martingale optimal transport has attracted much attention due to its application in pricing and hedging in mathematical finance. The essential notion which makes martingale optimal transport different from optimal… Click to show full abstract
Abstract Martingale optimal transport has attracted much attention due to its application in pricing and hedging in mathematical finance. The essential notion which makes martingale optimal transport different from optimal transport is peacock. A peacock is a sequence of measures which satisfies convex order property. In this paper we study peacock geodesics in Wasserstain space, and we hope this paper can provide some geometrical points of view to look at martingale optimal transport.
Keywords:
peacock;
peacock geodesics;
martingale optimal;
optimal transport;
space
Journal Title: Differential Geometry and Its Applications
Year Published: 2021
Link to full text (if available)
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Journal Title: Differential Geometry and Its Applications
Year Published: 2021
Link to full text (if available)
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recommendations!