CONSISTENT UPPER PRICE BOUNDS FOR EXOTIC OPTIONS

DOI10.1142/S0219024921500114zbMath1466.91324arXiv1907.09144MaRDI QIDQ4994444

Daniel Schmithals, Nicole Bäuerle

Publication date: 18 June 2021

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1907.09144

zbMATH Keywords

Asian optionWasserstein distanceexotic optionsconvex orderdirectional convexitymartingale optimal transport

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (1)

On intermediate marginals in martingale optimal transportation

Cites Work

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