Model-Free Price Bounds Under Dynamic Option Trading

DOI10.1137/21M1390013zbMath1476.91188arXiv2101.01024MaRDI QIDQ5162858

Ariel Neufeld, Julian Sester

Publication date: 5 November 2021

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2101.01024

zbMATH Keywords

sensitivityEuropean optionsmartingale optimal transportprice bounds

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (2)

Robust deep hedging ⋮ On intermediate marginals in martingale optimal transportation

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