"Convex duality in continuous option pricing models."

Peter Carr, Lorenzo Torricelli (2024)

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DOI: 10.1007/S10479-022-05143-Y

access: closed

type: Journal Article

metadata version: 2024-05-31

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Peter Carr, Lorenzo Torricelli:
Convex duality in continuous option pricing models. Ann. Oper. Res. 336(1-2): 1013-1037 (2024)

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