Computation of convex bounds for present value functions with random payments (Q2571217): Difference between revisions
From MaRDI portal
Set profile property. |
Set OpenAlex properties. |
||
Property / full work available at URL | |||
Property / full work available at URL: https://doi.org/10.1016/j.cam.2005.03.063 / rank | |||
Normal rank | |||
Property / OpenAlex ID | |||
Property / OpenAlex ID: W2111979814 / rank | |||
Normal rank |
Revision as of 20:14, 19 March 2024
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | Computation of convex bounds for present value functions with random payments |
scientific article |
Statements
Computation of convex bounds for present value functions with random payments (English)
0 references
1 November 2005
0 references
convex order
0 references
comonotonicity
0 references
present value functions
0 references
Black-Scholes model
0 references