Minimum Regret Pricing of Contingent Claims in Incomplete Markets

DOI10.1007/978-3-642-11456-4_32zbMath1246.91133OpenAlexW80752013MaRDI QIDQ2908447

S. Z. Xanthopoulos, Athanasios N. Yannacopoulos, Christos E. Kountzakis

Publication date: 5 September 2012

Published in: Dynamics, Games and Science I (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-642-11456-4_32

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Numerical mathematical programming methods (65K05) Convex programming (90C25) Derivative securities (option pricing, hedging, etc.) (91G20)

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