Consistent upper price bounds for exotic options (Q4994444)
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scientific article; zbMATH DE number 7360860
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| default for all languages | No label defined |
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| English | Consistent upper price bounds for exotic options |
scientific article; zbMATH DE number 7360860 |
Statements
CONSISTENT UPPER PRICE BOUNDS FOR EXOTIC OPTIONS (English)
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18 June 2021
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martingale optimal transport
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directional convexity
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convex order
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Asian option
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exotic options
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Wasserstein distance
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0.7932428121566772
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0.79078608751297
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0.7899749279022217
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0.7882720232009888
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