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Robust Pricing and Hedging of Options on Multiple Assets and Its Numerics

Robust Pricing and Hedging of Options on Multiple Assets and Its Numerics

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ECKSTEIN, Stephan, Gaoyue GUO, Tongseok LIM, Jan OBŁÓJ, 2021. Robust Pricing and Hedging of Options on Multiple Assets and Its Numerics. In: SIAM Journal on Financial Mathematics. SIAM. 12(1), pp. 158-188. eISSN 1945-497X. Available under: doi: 10.1137/19M1286256

@article{Eckstein2021Robus-53511, title={Robust Pricing and Hedging of Options on Multiple Assets and Its Numerics}, year={2021}, doi={10.1137/19M1286256}, number={1}, volume={12}, journal={SIAM Journal on Financial Mathematics}, pages={158--188}, author={Eckstein, Stephan and Guo, Gaoyue and Lim, Tongseok and Obłój, Jan} }

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