Bounds for Asian basket options (Q932705): Difference between revisions

@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.cam.2006.12.017
+Normal rank
@@ Property / OpenAlex ID @@
+W2109808911
@@ Property / OpenAlex ID: W2109808911 / rank @@
+Normal rank
@@ Property / cites work @@
+The Pricing of Options and Corporate Liabilities
@@ Property / cites work: The Pricing of Options and Corporate Liabilities / rank @@
+Normal rank
@@ Property / cites work @@
+Static super-replicating strategies for a class of exotic options
+Normal rank
@@ Property / cites work @@
+Valuing Asian and Portfolio Options by Conditioning on the Geometric Mean Price
+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: theory.
+Normal rank
@@ Property / cites work @@
+The concept of comonotonicity in actuarial science and finance: applications.
+Normal rank
@@ Property / cites work @@
+Q3562647
@@ Property / cites work: Q3562647 / rank @@
+Normal rank
@@ Property / cites work @@
+Static-arbitrage upper bounds for the prices of basket options
+Normal rank
@@ Property / cites work @@
+Upper and lower bounds for sums of random variables
+Normal rank
@@ Property / cites work @@
+The value of an Asian option
@@ Property / cites work: The value of an Asian option / rank @@
+Normal rank
@@ Property / cites work @@
+An easy computable upper bound for the price of an arithmetic Asian option
+Normal rank
@@ Property / cites work @@
+Q4704020
@@ Property / cites work: Q4704020 / rank @@
+Normal rank
@@ Property / cites work @@
+Optimal approximations for risk measures of sums of lognormals based on conditional expectations
+Normal rank
@@ Property / cites work @@
+Comparing Approximations for Risk Measures of Sums of Nonindependent Lognormal Random Variables
+Normal rank
@@ Property / cites work @@
+Bounds for the price of discrete arithmetic Asian options
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:932705