A new elementary geometric approach to option pricing bounds in discrete time models

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https://hal.archives-ouvertes.fr/hal-01744439
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Submitted on : Tuesday, March 27, 2018 - 1:47:44 PM
Last modification on : Thursday, April 11, 2019 - 9:25:01 AM

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Yann Braouezec, Cyril Grunspan. A new elementary geometric approach to option pricing bounds in discrete time models. European Journal of Operational Research, Elsevier, 2016, 249 (1), pp.270 - 280. ⟨10.1016/j.ejor.2015.08.024⟩. ⟨hal-01744439⟩

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