Model-independent bounds for option prices - a mass transport approach.

Mathias Beiglböck Pierre Henry-Labordère Friedrich Penkner

Published in: Finance Stochastics (2013)

Keyphrases

formal model
high level
probability distribution
computational model
theoretical framework
probabilistic model
sensitivity analysis
web services
objective function
lower bound
artificial neural networks
control system
cost function
theoretical analysis
parameter estimation
experimental data