Sharp distribution free lower bounds for spread options and the corresponding optimal subreplicating portfolios (Q1003813): Difference between revisions

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+MaRDI publication profile
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+https://doi.org/10.1016/j.insmatheco.2008.09.007
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+W2077357000
@@ Property / OpenAlex ID: W2077357000 / rank @@
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@@ Property / cites work @@
+General Lower Bounds for Arithmetic Asian Option Prices
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@@ Property / cites work @@
+Q3770273
@@ Property / cites work: Q3770273 / rank @@
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@@ Property / cites work @@
+On the Relation Between Option and Stock Prices: A Convex Optimization Approach
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+Pricing and Hedging Spread Options
@@ Property / cites work: Pricing and Hedging Spread Options / rank @@
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+Static super-replicating strategies for a class of exotic options
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+Static arbitrage bounds on basket option prices
@@ Property / cites work: Static arbitrage bounds on basket option prices / rank @@
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+The concept of comonotonicity in actuarial science and finance: applications.
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+Static-arbitrage upper bounds for the prices of basket options
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+Static-arbitrage optimal subreplicating strategies for basket options
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+On sharpness of Tchebycheff-type inequalities
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@@ Property / cites work @@
+Sharp Upper and Lower Bounds for Basket Options
@@ Property / cites work: Sharp Upper and Lower Bounds for Basket Options / rank @@
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+Q4905685
@@ Property / cites work: Q4905685 / rank @@
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@@ Property / cites work @@
+Some remarks on the supermodular order
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+An easy computable upper bound for the price of an arithmetic Asian option
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+Inequalities for distributions with given marginals
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+Comonotonicity, correlation order and premium principles
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