Static-arbitrage optimal subreplicating strategies for basket options (Q817290): Difference between revisions

@@ Property / author @@
-David G. Hobson
@@ Property / author: David G. Hobson / rank @@
-Normal rank
@@ Property / author @@
+David G. Hobson
@@ Property / author: David G. Hobson / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
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@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.insmatheco.2005.05.010
+Normal rank
@@ Property / OpenAlex ID @@
+W2035481762
@@ Property / OpenAlex ID: W2035481762 / rank @@
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@@ Property / cites work @@
+Q3770273
@@ Property / cites work: Q3770273 / rank @@
+Normal rank
@@ Property / cites work @@
+On the Relation Between Option and Stock Prices: A Convex Optimization Approach
+Normal rank
@@ Property / cites work @@
+Approximated moment-matching dynamics for basket-options pricing
+Normal rank
@@ Property / cites work @@
+Pricing of arithmetic basket options by conditioning.
+Normal rank
@@ Property / cites work @@
+The concept of comonotonicity in actuarial science and finance: applications.
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@@ Property / cites work @@
+Q3562647
@@ Property / cites work: Q3562647 / rank @@
+Normal rank
@@ Property / cites work @@
+Q3029673
@@ Property / cites work: Q3029673 / rank @@
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@@ Property / cites work @@
+Q3265202
@@ Property / cites work: Q3265202 / rank @@
+Normal rank
@@ Property / cites work @@
+Static-arbitrage upper bounds for the prices of basket options
+Normal rank
@@ Property / cites work @@
+Q4382161
@@ Property / cites work: Q4382161 / rank @@
+Normal rank
@@ Property / cites work @@
+Upper and lower bounds for sums of random variables
+Normal rank
@@ Property / cites work @@
+Q4349551
@@ Property / cites work: Q4349551 / rank @@
+Normal rank
@@ Property / cites work @@
+Sharp Upper and Lower Bounds for Basket Options
@@ Property / cites work: Sharp Upper and Lower Bounds for Basket Options / rank @@
+Normal rank
@@ Property / cites work @@
+Q3678189
@@ Property / cites work: Q3678189 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4810486
@@ Property / cites work: Q4810486 / rank @@
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