2 citations · 4 across the 2 of their papers we have counts for
2 papers
q-fin.MF2019★ 2 cited
Consistent upper price bounds for exotic options given a finite number of call prices and their convergence
Nicole Bäuerle, Daniel Schmithals
We consider the problem of finding a consistent upper price bound for exotic options whose payoff depends on the stock price at two different predetermined time points (e.g. Asian…
math.OC2019★ 2 cited
Martingale Optimal Transport in the Discrete Case Via Simple Linear Programming Techniques
Nicole Bäuerle, Daniel Schmithals
We consider the problem of finding consistent upper price bounds and super replication strategies for exotic options, given the observation of call prices in the market. This field…