SAMPLING OF ONE-DIMENSIONAL PROBABILITY MEASURES IN THE CONVEX ORDER AND COMPUTATION OF ROBUST OPTION PRICE BOUNDS (Q5376998)
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scientific article; zbMATH DE number 7057291
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | SAMPLING OF ONE-DIMENSIONAL PROBABILITY MEASURES IN THE CONVEX ORDER AND COMPUTATION OF ROBUST OPTION PRICE BOUNDS |
scientific article; zbMATH DE number 7057291 |
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SAMPLING OF ONE-DIMENSIONAL PROBABILITY MEASURES IN THE CONVEX ORDER AND COMPUTATION OF ROBUST OPTION PRICE BOUNDS (English)
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21 May 2019
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convex order
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martingale optimal transport
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robust option price bounds
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sampling techniques
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linear programming
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