en
0.25
0.5
0.75
1.25
1.5
1.75
2
How to Hedge an Option Against an Adversary: Black-Scholes Pricing is Minimax Optimal
Published on Nov 07, 20141891 Views
We consider a popular problem in finance, option pricing, through the lens of an online learning game between Nature and an Investor. In the Black-Scholes option pricing model from 1973, the Investor
Related categories
Chapter list
How to Hedge an Option Against an Adversary: Black-Scholes Pricing is Minimax Optimal00:00
Black-Scholes Option Pricing00:10
Robust Option Pricing via Regret Minimization01:21
Black-Scholes Price is Minimax Optional02:28