Jacob Abernethy, Rafael M. Frongillo, Andre Wibisono
Minimax option pricing meets black-scholes in the limit
STOC, 2012.
@inproceedings{STOC-2012-AbernethyFW, author = "Jacob Abernethy and Rafael M. Frongillo and Andre Wibisono", booktitle = "{Proceedings of the 44th Annual ACM Symposium on Theory of Computing}", doi = "10.1145/2213977.2214070", isbn = "978-1-4503-1245-5", pages = "1029--1040", publisher = "{ACM}", title = "{Minimax option pricing meets black-scholes in the limit}", year = 2012, }