Robust bounds for derivative prices in Markovian models (Q3304200)
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scientific article; zbMATH DE number 7228485
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| English | Robust bounds for derivative prices in Markovian models |
scientific article; zbMATH DE number 7228485 |
Statements
ROBUST BOUNDS FOR DERIVATIVE PRICES IN MARKOVIAN MODELS (English)
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5 August 2020
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martingale optimal transport
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robust pricing
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Markov property
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duality
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0.8399754166603088
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0.8253109455108643
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0.8094030618667603
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0.7970414161682129
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0.7951490879058838
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