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Martingale Schrödinger bridges and optimal semistatic portfolios |
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| Authors: | Nutz Marcel Wiesel Johannes Zhao Long |
| Institution: | 1.Departments of Statistics and Mathematics, Columbia University, 1255 Amsterdam Avenue, New York, NY, 10027, USA ;2.Department of Statistics, Columbia University, 1255 Amsterdam Avenue, New York, NY, 10027, USA ; |
| Abstract: | Finance and Stochastics - In a two-period financial market where a stock is traded dynamically and European options at maturity are traded statically, we study the so-called martingale... |
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