Duality Formulas for Robust Pricing and Hedging in Discrete Time

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CHERIDITO, Patrick, Michael KUPPER, Ludovic TANGPI, 2017. Duality Formulas for Robust Pricing and Hedging in Discrete Time. In: SIAM Journal on Financial Mathematics. 8(1), pp. 738-765. eISSN 1945-497X. Available under: doi: 10.1137/16M1064088

@article{Cheridito2017-01Duali-41259, title={Duality Formulas for Robust Pricing and Hedging in Discrete Time}, year={2017}, doi={10.1137/16M1064088}, number={1}, volume={8}, journal={SIAM Journal on Financial Mathematics}, pages={738--765}, author={Cheridito, Patrick and Kupper, Michael and Tangpi, Ludovic} }

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