HIGHLIGHTS
- who: Alessandro Doldi from the Dipartimento di Matematica, Universitu00e0 degli Studi di Milano, Via Saldini, Milano, Italy have published the research: Entropy martingale optimal transport and nonlinear pricing-hedging duality, in the Journal: (JOURNAL)
- what: The aim of this paper is to develop a duality between a novel entropy martingale optimal transport (EMOT) problem and an associated optimisation problem. The authors provide here only two special cases. t be the marginals of some Q u2208 Mart( ) and U (u03d5)=Tt=0 EQ Let Q t . In Examples 4.12, 4.16 and 5.4, the . . .
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