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"Pricing Bounds for Volatility Derivatives via Duality and Least Squares ..."

Ivan Guo, Grégoire Loeper (2018)

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DOI: 10.1007/S10957-017-1168-2

access: closed

type: Journal Article

metadata version: 2020-04-07

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Ivan Guo, Grégoire Loeper:
Pricing Bounds for Volatility Derivatives via Duality and Least Squares Monte Carlo. J. Optim. Theory Appl. 179(2): 598-617 (2018)

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