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Convergence of Sinkhorn's Algorithm for Entropic Martingale Optimal Transport Problem
In this paper, we study the Entropic Martingale Optimal Transport (EMOT) problem on \mathbb{R}. The investigation of the EMOT problem arises in the calibration problem of the Stochastic Volatility Models, where martingale constraints reflect no-arbitrage pricing conditions under the risk-neutral mea
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