A Stochastic Control Approach to No-Arbitrage Bounds Given Marginals, with an Application to Lookback Options
Year: 2011
Type: preprint
Source: SSRN Electronic Journal
DOI: 10.2139/ssrn.1912477
Institutions: New York University, École Polytechnique
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: green
Funder: Fondation du Risque
OpenAlex ID: W2165028571