Robust pricing-hedging dualities in continuous time
Zhaoxu Hou, Jan Obłój
| Year of publication: |
July 2018
|
|---|---|
| Authors: | Hou, Zhaoxu ; Obłój, Jan |
| Published in: |
Finance and stochastics. - Berlin : Springer, ISSN 0949-2984, ZDB-ID 1356339-7. - Vol. 22.2018, 3, p. 511-567
|
| Subject: | Robust pricing and hedging | Pricing-hedging duality | Martingale optimal transport | Path space restrictions | Pathwise modelling | Hedging | Martingal | Martingale | Mathematische Optimierung | Mathematical programming | Optionspreistheorie | Option pricing theory | Robustes Verfahren | Robust statistics | Duales Optimierungsproblem | Dual optimization problem |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s00780-018-0363-9 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011945812