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From Bachelier to Dupire via optimal transport |
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| Authors: | Beiglböck Mathias Pammer Gudmund Schachermayer Walter |
| Institution: | 1.Department of Mathematics, Universit?t Wien, Oskar Morgensternplatz 1, 1090, Wien, Austria ;2.Department of Mathematics, ETH Zürich, R?mistrasse 101, 8092, Zürich, Switzerland ; |
| Abstract: | Finance and Stochastics - Famously, mathematical finance was started by Bachelier in his 1900 PhD thesis where – among many other achievements – he also provided a formal derivation of... |
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