Robust Pricing and Hedging of Options on Multiple Assets and Its Numerics (Q4987713)
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scientific article; zbMATH DE number 7343454
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Robust Pricing and Hedging of Options on Multiple Assets and Its Numerics |
scientific article; zbMATH DE number 7343454 |
Statements
Robust Pricing and Hedging of Options on Multiple Assets and Its Numerics (English)
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4 May 2021
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robust pricing and hedging
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optimal transport
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martingale optimal transport
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robust copula
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multi-marginal transport
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numerical methods
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linear programming
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machine learning
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deep neural networks
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