Option bounds
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Publication:4822458
DOI10.1239/jap/1082552196zbMath1104.91044MaRDI QIDQ4822458
Victor H. de la Peña, Rustam Ibragimov, Steve Jordan
Publication date: 25 October 2004
Published in: Journal of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://semanticscholar.org/paper/485bc7ad10d8cbc09757b9cbc0533c7690d35d60
91G20: Derivative securities (option pricing, hedging, etc.)
Related Items
Positive-part moments via the Fourier-Laplace transform, Third-order extensions of Lo's semiparametric bound for European call options, Semiparametric bounds of mean and variance for exotic options, Computing arbitrage upper bounds on basket options in the presence of bid-ask spreads, Exact Lower Bounds on the Exponential Moments of Truncated Random Variables, Static-arbitrage lower bounds on the prices of basket options via linear programming
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