A new elementary geometric approach to option pricing bounds in discrete time models

DOI10.1016/j.ejor.2015.08.024zbMath1346.91226OpenAlexW1496813416MaRDI QIDQ320923

Cyril Grunspan, Yann Braouezec

Publication date: 7 October 2016

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2015.08.024

zbMATH Keywords

incomplete marketsfinanceconvex hullsbarycentric coordinatesoption pricing bounds

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

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Uses Software

• DerivaGem

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