Robust option pricing: Hannan and Blackwell meet Black and Scholes (Q281366)
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scientific article; zbMATH DE number 6578957
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| English | Robust option pricing: Hannan and Blackwell meet Black and Scholes |
scientific article; zbMATH DE number 6578957 |
Statements
Robust option pricing: Hannan and Blackwell meet Black and Scholes (English)
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11 May 2016
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approachability
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calibration
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regret minimization
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robust optimization
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option pricing
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arbitrage bounds
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0.7900356650352478
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0.7743058204650879
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0.7664567232131958
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0.7644177675247192
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0.7633606195449829
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