A new elementary geometric approach to option pricing bounds in discrete time models
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- Alexander Chigodaev, 2016. "Recursive Method for Guaranteed Valuation of Options in Deterministic Game Theoretic Approach," HSE Working papers WP BRP 53/FE/2016, National Research University Higher School of Economics.
- Braouezec, Yann, 2017. "How fundamental is the one-period trinomial model to European option pricing bounds. A new methodological approach," Finance Research Letters, Elsevier, vol. 21(C), pages 92-99.
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More about this item
KeywordsFinance; Incomplete markets; Option pricing bounds; Convex hulls; Barycentric coordinates;
All these keywords.
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