Game-theoretic derivation of upper hedging prices of multivariate contingent claims and submodularity
Author:
Funder
Japan Society for the Promotion of Science
Publisher
Springer Science and Business Media LLC
Subject
Applied Mathematics,General Engineering
Link
http://link.springer.com/content/pdf/10.1007/s13160-019-00394-y.pdf
Reference31 articles.
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3. Boyd, S., Vandenberghe, L.: Convex Optimization. Cambridge University Press, Cambridge (2004)
4. Boyle, P.P., Evnine, J., Gibbs, S.: Numerical evaluation of multivariate contingent claims. Rev. Financ. Stud. 2, 241–250 (1989)
5. Buff, R.: Uncertain Volatility Models: Theory and Application. Springer, New York (2002)
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