A model‐free approach to continuous‐time finance

DOI10.1111/mafi.12370zbMath1522.91213arXiv2211.15531MaRDI QIDQ6054452

Henry Chiu, Rama Cont

Publication date: 28 September 2023

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2211.15531

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10)

Related Items (1)

Model‐free portfolio theory: A rough path approach

Cites Work

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