Patrimony
The Louis Bachelier Group's patrimony has been defined as all the publications produced by academic researchers thanks to Group funding (ILB, FdR, IEF, Labex) or via the use of EquipEx data (BEDOFIH, EUROFIDAI).
Robust pricing-hedging duality for American options in discrete time financial markets.
60G05, American option, Kantorovich duality, Martingale, Nondominated model, Optimal transport, Secondary 49M29, Super-replication
The robust pricing-hedging duality for American options in discrete time financial markets.
60G05, American option, Kantorovich duality, Martingale, Nondominated model, Optimal transport, Secondary 49M29, Super-replication