SAMPLING OF ONE-DIMENSIONAL PROBABILITY MEASURES IN THE CONVEX ORDER AND COMPUTATION OF ROBUST OPTION PRICE BOUNDS (Q5376998)

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scientific article; zbMATH DE number 7057291
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SAMPLING OF ONE-DIMENSIONAL PROBABILITY MEASURES IN THE CONVEX ORDER AND COMPUTATION OF ROBUST OPTION PRICE BOUNDS
scientific article; zbMATH DE number 7057291

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    SAMPLING OF ONE-DIMENSIONAL PROBABILITY MEASURES IN THE CONVEX ORDER AND COMPUTATION OF ROBUST OPTION PRICE BOUNDS (English)
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    21 May 2019
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    convex order
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    martingale optimal transport
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    robust option price bounds
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    sampling techniques
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    linear programming
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