Minimax option pricing meets black-scholes in the limit
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Publication:5415533
DOI10.1145/2213977.2214070zbMath1286.90165arXiv1202.2585OpenAlexW2080966090MaRDI QIDQ5415533
Rafael Frongillo, Andre Wibisono, Jacob Abernethy
Publication date: 13 May 2014
Published in: Proceedings of the forty-fourth annual ACM symposium on Theory of computing (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1202.2585
Minimax problems in mathematical programming (90C47) 2-person games (91A05) Microeconomic theory (price theory and economic markets) (91B24) Derivative securities (option pricing, hedging, etc.) (91G20)
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