Calibrated American option pricing by stochastic linear programming (Q5746725)
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scientific article; zbMATH DE number 6256418
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Calibrated American option pricing by stochastic linear programming |
scientific article; zbMATH DE number 6256418 |
Statements
Calibrated American option pricing by stochastic linear programming (English)
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7 February 2014
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American option
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incomplete market
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arbitrage-free interval
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calibrated option pricing
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dual theory
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martingale measures
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