From Bachelier to Dupire via optimal transport
Crossref DOI link: https://doi.org/10.1007/s00780-021-00466-3
Published Online: 2021-12-23
Published Print: 2022-01
Update policy: https://doi.org/10.1007/springer_crossmark_policy
Beiglböck, Mathias
Pammer, Gudmund
Schachermayer, Walter
Funding for this research was provided by:
Swiss Federal Institute of Technology Zurich
Text and Data Mining valid from 2021-12-23
Version of Record valid from 2021-12-23
Article History
Received: 6 April 2021
Accepted: 2 November 2021
First Online: 23 December 2021