Peacock geodesics in Wasserstein space
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DOI: 10.1016/j.difgeo.2021.101764
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… read more here.
Keywords: peacock; peacock geodesics; martingale optimal; optimal transport ... See more keywords