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We estimate prices of exotic options in a discrete-time model-free setting when the trader has access to market prices of a rich enough class of exotic and vanilla options.
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Bouchard, B. and Nutz, M., 2015. Arbitrage and duality in nondominated discrete-time models. The Annals of Applied Probability, 25
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Acciaio, B., Beiglböck, M., Penkner, F. and Schachermayer, W., 2016. A model-free version of the fundamental theorem of asset pricing and the superreplication theorem. Mathematical Finance, 26
2016
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Bally, V., Caramellino, L., Cont, R., i Civit, F.U. and Vives, J., 2016. Stochastic integration by parts and functional Itô calculus
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2017
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Beiglböck, M., Cox, A.M., Huesmann, M., Perkowski, N. and Prömel, D.J., 2017. Pathwise superreplication via Vovk’s outer measure. Finance and Stochastics
2017
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2018
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Hou, Z. and Oblój, J., 2018. Robust pricing–hedging dualities in continuous time. Finance and Stochastics, 22
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Cartea, Á., Pérez Arribas, I. and Sánchez-Betancourt, L., 2020. Optimal Execution of Foreign Securities: A Double-Execution Problem with Machine Learning. Working paper
2020
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