Robust Pricing and Hedging of Options on Multiple Assets and Its Numerics.

Stephan Eckstein Gaoyue Guo Tongseok Lim Jan Oblój

Published in: SIAM J. Financial Math. (2021)

Keyphrases

option pricing
financial markets
transaction costs
long term
robust estimation
convertible bonds
database
data mining
multi agent systems
computationally efficient
game theory
partial occlusion
parameter tuning