Convex Order for Path-Dependent Derivatives: A Dynamic Programming Approach (Q5270095)

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scientific article; zbMATH DE number 6734504
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Convex Order for Path-Dependent Derivatives: A Dynamic Programming Approach
scientific article; zbMATH DE number 6734504

    Statements

    title
    Convex Order for Path-Dependent Derivatives: A Dynamic Programming Approach (English)
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    author
    Gilles Pagès
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    publication date
    22 June 2017
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    Mathematics Subject Classification ID
    60G44
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    60J60
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    60H10
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    60J65
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    60G51
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    90C39
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    65C30
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    65D15
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    91G20
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    91G60
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    zbMATH DE Number
    6734504
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    zbMATH Keywords
    martingales
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    diffusions
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    functional convex order
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    dynamic programming
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    stochastic differential equations
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    functional limit theorems
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    Euler schemes
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    mathematical finance
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    OpenAlex ID
    W2528425908
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    arXiv ID
    1407.6348
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