Robust pricing and hedging of options on multiple assets and its numerics
We consider robust pricing and hedging for options written on multiple assets given market option prices for the individual assets. The resulting problem is called the multimarginal martingale optimal transport problem. We propose two numerical methods to solve such problems: using discretization an...
| Main Authors: | , , , |
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| Format: | Journal article |
| Language: | English |
| Published: |
Society for Industrial and Applied Mathematics
2021
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