Minimax option pricing meets black-scholes in the limit.

Jacob D. Abernethy Rafael M. Frongillo Andre Wibisono

Published in: STOC (2012)

Keyphrases

black scholes
option pricing
stock price
fuzzy numbers
decision analysis
numerical methods
stock exchange
real option
capital budgeting
stock market
financial markets
imperfect information
knowledge discovery
state space
black scholes model