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How to Hedge an Option Against an Adversary: Black-Scholes Pricing is Minimax Optimal.
Jacob D. Abernethy
Peter L. Bartlett
Rafael M. Frongillo
Andre Wibisono
Published in:
NIPS (2013)
Keyphrases
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option pricing
black scholes
black scholes model
stock price
convertible bonds
decision analysis
fuzzy numbers
numerical methods
worst case
real option
optimal solution
stock market
financial markets
pattern recognition
bayesian networks
risk analysis
decision makers
dynamic programming