Exercise 11.7.9 Suppose that there is an algorithm that generates an upper bound on the true option
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Exercise 11.7.9 Suppose that there is an algorithm that generates an upper bound on the true option value and an algorithm that generates a lower bound on the true option value. How do we design an approximate option pricing scheme with information on the pricing error?
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Related Book For 
Financial Engineering And Computation Principles Mathematics Algorithms
ISBN: 9780521781718
1st Edition
Authors: Yuh-Dauh Lyuu
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