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20182020
most citedLipschitz neural networks are dense in the set of all Lipschitz functions

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math.PR2019

Robust pricing and hedging of options on multiple assets and its numerics

Stephan Eckstein, Gaoyue Guo, Tongseok Lim +1

We consider robust pricing and hedging for options written on multiple assets given market option prices for the individual assets. The resulting problem is called the multi-margin…