Sharp distribution free lower bounds for spread options and the corresponding optimal subreplicating portfolios (Q1003813): Difference between revisions
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Revision as of 02:52, 5 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Sharp distribution free lower bounds for spread options and the corresponding optimal subreplicating portfolios |
scientific article |
Statements
Sharp distribution free lower bounds for spread options and the corresponding optimal subreplicating portfolios (English)
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4 March 2009
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comonotonicity
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copula
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distribution free bounds
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linear programming
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optimization
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spread option pricing
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