A new elementary geometric approach to option pricing bounds in discrete time models

Yann Braouezec and Cyril Grunspan ()
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Yann Braouezec: LEM - Lille économie management - UMR 9221 - UA - Université d'Artois - UCL - Université catholique de Lille - Université de Lille - CNRS - Centre National de la Recherche Scientifique
Cyril Grunspan: ESILV - École Supérieure d'Ingénierie Léonard de Vinci

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Date: 2016-02
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Published in European Journal of Operational Research, 2016, 249 (1), pp.270 - 280. ⟨10.1016/j.ejor.2015.08.024⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-01744439

DOI: 10.1016/j.ejor.2015.08.024

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