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Tightening robust price bounds for exotic derivatives - MaRDI portal

Tightening robust price bounds for exotic derivatives (Q5212058)

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scientific article; zbMATH DE number 7157429
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English
Tightening robust price bounds for exotic derivatives
scientific article; zbMATH DE number 7157429

    Statements

    title
    Tightening robust price bounds for exotic derivatives (English)
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    author
    Eva Lütkebohmert
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    Julian Sester
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    publication date
    24 January 2020
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    zbMATH Keywords
    robust price bounds
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    model-independent valuation
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    optimal martingale transport
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    additional market information
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    cites work
    Q4424462
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    Model-Free Hedging
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    Q4805362
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    Optimal Transport
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    Identifiers

    zbMATH DE Number
    7157429
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    OpenAlex ID
    W2943696896
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    Wikidata QID
    Q128021579
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