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Initial value g0 c - PowerPoint PPT Presentation

A Game Theoretic Approach to Robust Option Pricing

A Game Theoretic Approach to Robust Option Pricing. Peter DeMarzo, Stanford Ilan Kremer, Stanford Yishay Mansour, TAU. Finance: Efficient markets, Option Pricing, Black-Scholes-Merton. Approachability: Hannan-Blackwell. Universal Portfolios: Cover et al. Game theory-

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Initial value g0 c - PowerPoint PPT Presentation

A Game Theoretic Approach to Robust Option Pricing