most citedMartingale Optimal Transport in the Discrete Case Via Simple Linear Programming Techniques

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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…