Game-theoretic derivation of upper hedging prices of multivariate contingent claims and submodularity
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Publication:2300963
DOI10.1007/s13160-019-00394-yzbMath1436.91110arXiv1806.07626OpenAlexW2984950301WikidataQ126866787 ScholiaQ126866787MaRDI QIDQ2300963
Takeru Matsuda, Akimichi Takemura
Publication date: 28 February 2020
Published in: Japan Journal of Industrial and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1806.07626
Black-Scholes-Barenblatt equationsubmodularLovász extensiongame-theoretic probabilitymultivariate contingent claimupper hedging price
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