Geometric Martingale Benamou-Brenier transport and geometric Bass martingales
By Julio Backhoff-Veraguas, Gregoire Loeper, Jan Ob/suppress l´ oj
Rating
1311
Battle Count: 226
Relevance
7/10
Provides theoretical foundations for modeling asset prices with geometric Brownian motion and related processes
Implementation Complexity
8/10
Requires advanced knowledge of stochastic calculus and optimal transport theory
Reproducibility
3/5
Theoretical paper with proofs, but no numerical experiments or code provided
About this paper
Methodology: Geometric martingale Benamou-Brenier transport. Problem types: Martingale Optimal Transport.
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