Model-independent bounds for option prices—a mass transport approach
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More about this item
KeywordsModel-independent pricing; Monge–Kantorovich transport problem; Option arbitrage; Robust superreplication theorem; 91G20; 91G80; C61; G13;
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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