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CONSISTENT UPPER PRICE BOUNDS FOR EXOTIC OPTIONS - MaRDI portal

CONSISTENT UPPER PRICE BOUNDS FOR EXOTIC OPTIONS (Q4994444)

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scientific article; zbMATH DE number 7360860
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CONSISTENT UPPER PRICE BOUNDS FOR EXOTIC OPTIONS
scientific article; zbMATH DE number 7360860

    Statements

    title
    CONSISTENT UPPER PRICE BOUNDS FOR EXOTIC OPTIONS (English)
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    author
    Nicole Bäuerle
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    Daniel Schmithals
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    publication date
    18 June 2021
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    zbMATH Keywords
    martingale optimal transport
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    directional convexity
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    convex order
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    Asian option
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    exotic options
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    Wasserstein distance
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    Identifiers

    zbMATH DE Number
    7360860
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    arXiv ID
    1907.09144
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