On an optimization problem related to static super-replicating strategies (Q475663): Difference between revisions

@@ Property / Mathematics Subject Classification ID @@
+G20
@@ Property / Mathematics Subject Classification ID: 91G20 / rank @@
+Normal rank
@@ Property / zbMATH DE Number @@
+6374499
@@ Property / zbMATH DE Number: 6374499 / rank @@
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@@ Property / zbMATH Keywords @@
+Asian options
@@ Property / zbMATH Keywords: Asian options / rank @@
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@@ Property / zbMATH Keywords @@
+basket options
@@ Property / zbMATH Keywords: basket options / rank @@
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@@ Property / zbMATH Keywords @@
+comonotonicity
@@ Property / zbMATH Keywords: comonotonicity / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+super-hedging strategies
@@ Property / zbMATH Keywords: super-hedging strategies / rank @@
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@@ 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.cam.2014.10.003
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@@ Property / OpenAlex ID @@
+W2036184769
@@ Property / OpenAlex ID: W2036184769 / rank @@
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@@ Property / cites work @@
+Static super-replicating strategies for a class of exotic options
+Normal rank
@@ Property / cites work @@
+An easy computable upper bound for the price of an arithmetic Asian option
+Normal rank
@@ Property / cites work @@
+The concept of comonotonicity in actuarial science and finance: theory.
+Normal rank
@@ Property / cites work @@
+Static-arbitrage upper bounds for the prices of basket options
+Normal rank
@@ Property / cites work @@
+Optimal Pricing of a Heterogeneous Portfolio for a Given Risk Level
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+The herd behavior index: a new measure for the implied degree of co-movement in stock markets
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+An optimization approach to the dynamic allocation of economic capital
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+The concept of comonotonicity in actuarial science and finance: applications.
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+An Overview of Comonotonicity and Its Applications in Finance and Insurance
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+Economic Capital Allocation Derived from Risk Measures
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+Statistics and Truth
@@ Property / cites work: Statistics and Truth / rank @@
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@@ Property / cites work @@
+Weighted risk capital allocations
@@ Property / cites work: Weighted risk capital allocations / rank @@
+Normal rank
@@ Property / cites work @@
+Changes of numéraire, changes of probability measure and option pricing
+Normal rank
@@ Property / cites work @@
+Bounds for the price of discrete arithmetic Asian options
+Normal rank
@@ Property / cites work @@
+Martingale methods in financial modelling.
@@ Property / cites work: Martingale methods in financial modelling. / rank @@
+Normal rank
@@ Property / cites work @@
+General Lower Bounds for Arithmetic Asian Option Prices
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@@ links / mardi / name / links / mardi / name @@
+Publication:475663