SAMPLING OF ONE-DIMENSIONAL PROBABILITY MEASURES IN THE CONVEX ORDER AND COMPUTATION OF ROBUST OPTION PRICE BOUNDS
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Publication:5376998
DOI10.1142/S021902491950002XzbMath1411.91535MaRDI QIDQ5376998
Benjamin Jourdain, Jacopo Corbetta, Aurélien Alfonsi
Publication date: 21 May 2019
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1142/s021902491950002x
linear programming; convex order; martingale optimal transport; sampling techniques; robust option price bounds
91G60: Numerical methods (including Monte Carlo methods)
90C05: Linear programming
60G44: Martingales with continuous parameter
91G20: Derivative securities (option pricing, hedging, etc.)
91-04: Software, source code, etc. for problems pertaining to game theory, economics, and finance
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