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Convex Order of Discrete, Continuous, and Predictable Quadratic Variation and Applications to Options on Variance.

Claus GriesslerMartin Keller-Ressel
Published in: SIAM J. Financial Math. (2014)
Keyphrases
  • discrete space
  • piecewise linear
  • machine learning
  • pairwise
  • finite number
  • discrete data
  • data sets
  • learning algorithm
  • multiscale
  • markov random field
  • linear programming