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How to Hedge an Option Against an Adversary: Black-Scholes Pricing is Minimax Optimal Jacob Abernethy University of Michigan [removed]
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Document Date: 2014-11-26 14:13:18

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File Size: 1,16 MB

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Company

Cambridge University Press / Microsoft / /

Country

United States / /

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Facility

Peter L. Bartlett University of California at Berkeley / Queensland University / /

IndustryTerm

particular hedging algorithm / online learning / sequential decision protocol / on-line learning / weighted majority algorithm / finance / online learning game / particular algorithm / oil options / /

Organization

Cambridge University / University of California / National Science Foundation / Queensland University of Technology / University of Michigan / /

Person

Fischer Black / Myron Scholes / Rafael M. Frongillo / Toniann Pitassi / /

/

Position

model / option pricing model / /

ProvinceOrState

California / Michigan / /

PublishedMedium

Theory of Computing / The Journal of Political Economy / /

Technology

particular algorithm / weighted majority algorithm / Black-Scholes hedging algorithm / sequential decision protocol / Hedge algorithms / Online trading algorithms / particular hedging algorithm / /

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