Authors:
Galichon, A.
Henry-Labordère, P.
Touzi, N.
Citation: A. Galichon, et al., A stochastic control approach to no-arbitrage bounds given marginals, with an application to lookback options, Annals of applied probability , 24(1), 2014, pp. 312-336
Citation: B. Bouchard, et al., Dual formulation of the utility maximization problem: The case of nonsmooth utility, Annals of applied probability , 14(2), 2004, pp. 678-717