Sampling of one-dimensional probability measures in the convex order and computation of robust option price bounds
Aurélien Alfonsi, Jacopo Corbetta, Benjamin Jourdain
| Year of publication: |
2019
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|---|---|
| Authors: | Alfonsi, Aurélien ; Corbetta, Jacopo ; Jourdain, Benjamin |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 22.2019, 3, p. 1-41
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| Subject: | Convex order | martingale optimal transport | robust option price bounds | sampling techniques | linear programming | Mathematische Optimierung | Mathematical programming | Optionspreistheorie | Option pricing theory | Stichprobenerhebung | Sampling | Martingal | Martingale | Robustes Verfahren | Robust statistics | Wahrscheinlichkeitsrechnung | Probability theory | Optionsgeschäft | Option trading |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1142/S021902491950002X [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012019745