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

DOI10.1016/J.EJOR.2015.08.024MaRDI QIDQ320923zbMATH OpenOpenAlexFDO

Authors Yann Braouezec, Cyril Grunspan

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

financebarycentric coordinatesconvex hullsincomplete marketsoption pricing bounds

Mathematics Subject Classification ID

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

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• On the no-arbitrage condition in option implied trees
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Cited in

(1)

• Valuing an investment project using no-arbitrage and the alpha-maxmin criteria: from Knightian uncertainty to risk

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• DerivaGem

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