PRICING OF RAINBOW OPTIONS: GAME THEORETIC APPROACH (Q3502817): Difference between revisions
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| Property / cites work: On submodular value functions and complex dynamic programming / rank | |||
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Latest revision as of 10:21, 28 June 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | PRICING OF RAINBOW OPTIONS: GAME THEORETIC APPROACH |
scientific article |
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PRICING OF RAINBOW OPTIONS: GAME THEORETIC APPROACH (English)
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20 May 2008
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coloured (or rainbow) options
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explicit formulas for hedge
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transaction costs
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interval model
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submodular functions
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