Model-Independent Bounds for Asian Options: A Dynamic Programming Approach
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Publication:4591237
DOI10.1137/16M1087527zbMath1415.91280arXiv1507.02651OpenAlexW2963969522MaRDI QIDQ4591237
Sigrid Källblad, Alexander Matthew Gordon Cox
Publication date: 13 November 2017
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1507.02651
Dynamic programming (90C39) Generalizations of martingales (60G48) Derivative securities (option pricing, hedging, etc.) (91G20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)
Related Items (7)
A dynamic programming approach to distribution-constrained optimal stopping ⋮ Martingale Optimal Transport with Stopping ⋮ Distribution‐constrained optimal stopping ⋮ Controlled measure-valued martingales: a viscosity solution approach ⋮ Transport plans with domain constraints ⋮ Robust pricing and hedging around the globe ⋮ CONSISTENT UPPER PRICE BOUNDS FOR EXOTIC OPTIONS
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