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How to Hedge an Option Against an Adversary: Black-Scholes Pricing is Minimax Optimal
Neural Information Processing Systems2013-12-05 16 citations10 references
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Abstract
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TL;DRThis work considers a popular problem in finance, option pricing, through the lens of an online learning game between Nature and an Investor, and shows that the value of the proposed game, which is the "regret" of hedging strategy, converges to the Black-Scholes option price. (Semantic Scholar)