A Note on 'Improved Fréchet Bounds and Model-Free Pricing of Multi-Asset Options' by Tankov (2011).
Carole BernardXiao JiangSteven VanduffelPublished in: J. Appl. Probab. (2012)
Keyphrases
- model free
- reinforcement learning
- reinforcement learning algorithms
- temporal difference
- function approximation
- option pricing
- lower bound
- payoff functions
- policy iteration
- upper bound
- black scholes model
- financial markets
- double exponential
- markov decision processes
- learning experience
- worst case
- semi supervised
- policy evaluation
- state space