Back to Results
First PageMeta Content
Martingale theory / Mathematical finance / Equations / Options / Black–Scholes / Wiener process / Martingale / Lookback option / Brownian motion / Statistics / Stochastic processes / Probability theory


Minimax Option Pricing Meets Black-Scholes in the Limit ∗ Jacob Abernethy Rafael M. Frongillo
Add to Reading List

Document Date: 2013-10-28 18:03:14

Open Document

File Size: 187,34 KB

Share Result on Facebook

City

New York / /

Company

Princeton University Press / Cambridge University Press / ct a.s. / Google / /

Country

United States / /

Currency

USD / /

/

Facility

Information Science University of Pennsylvania Computer Science Division University of California / Berkeley Computer Science Division University of California / University of London / University of California / /

IndustryTerm

Regret minimization algorithms / online learning / on-line learning / weighted majority algorithm / finance / /

OperatingSystem

L3 / /

Organization

Computer Science Division / Cambridge University / Computer Learning Research Centre / National Science Foundation / Princeton University / University of California / Berkeley / Wibisono Computer & Information Science University of Pennsylvania Computer Science Division University / University of London / /

Person

Sn / Fischer Black / Myron Scholes / Mansour / Defining Tn / Jacob Abernethy Rafael / Andre Wibisono / /

Position

author / model / model for the price path / valuation model / General / player / pricing model / option pricing model / /

ProgrammingLanguage

E / /

ProvinceOrState

South Dakota / California / New York / /

PublishedMedium

Pacific Journal of Mathematics / Games and Economic Behavior / The Journal of Political Economy / Lecture Notes in Computer Science / /

Technology

proposed algorithm / Multiplicative Weights algorithm / weighted majority algorithm / Regret minimization algorithms / Online trading algorithms / /

SocialTag