Pages that link to "Item:Q817290"

The following pages link to Static-arbitrage optimal subreplicating strategies for basket options (Q817290):

Displaying 27 items.

• Model-independent superhedging under portfolio constraints (Q261914) (← links)
• Pricing and hedging basket options with exact moment matching (Q343968) (← links)
• Model-independent bounds for option prices -- a mass transport approach (Q354188) (← links)
• Martingale optimal transport and robust hedging in continuous time (Q466902) (← links)
• Martingale optimal transport in the Skorokhod space (Q492958) (← links)
• Computing lower bounds on basket option prices by discretizing semi-infinite linear programming (Q518129) (← links)
• On sums of two counter-monotonic risks (Q784393) (← links)
• Sharp distribution free lower bounds for spread options and the corresponding optimal subreplicating portfolios (Q1003813) (← links)
• Improved Fréchet-Hoeffding bounds on \(d\)-copulas and applications in model-free finance (Q1704147) (← links)
• Computing arbitrage upper bounds on basket options in the presence of bid-ask spreads (Q1926944) (← links)
• A new concept of reliability system and applications in finance (Q2150787) (← links)
• Measuring the coupled risks: A copula-based CVaR model (Q2378280) (← links)
• Computing bounds on the expected payoff of Alternative Risk Transfer products (Q2445341) (← links)
• Detection of arbitrage opportunities in multi-asset derivatives markets (Q2667758) (← links)
• MODEL-INDEPENDENT LOWER BOUND ON VARIANCE SWAPS (Q2831008) (← links)
• ON OPTIMAL SUPER-HEDGING AND SUB-HEDGING STRATEGIES (Q2862515) (← links)
• Improved Fréchet Bounds and Model-Free Pricing of Multi-Asset Options (Q3014980) (← links)
• Static-arbitrage lower bounds on the prices of basket options via linear programming (Q3063848) (← links)
• A novel feasible discretization method for linear semi-infinite programming applied to basket option pricing (Q3111142) (← links)
• General Lower Bounds for Arithmetic Asian Option Prices (Q3502206) (← links)
• COMPUTING BOUNDS ON RISK-NEUTRAL DISTRIBUTIONS FROM THE OBSERVED PRICES OF CALL OPTIONS (Q3566767) (← links)
• CONSISTENT UPPER PRICE BOUNDS FOR EXOTIC OPTIONS (Q4994444) (← links)
• General closed-form basket option pricing bounds (Q5001150) (← links)
• Marginal and Dependence Uncertainty: Bounds, Optimal Transport, and Sharpness (Q5037497) (← links)
• SPARSE CALIBRATIONS OF CONTINGENT CLAIMS (Q5190053) (← links)
• BOUNDS ON MULTI-ASSET DERIVATIVES VIA NEURAL NETWORKS (Q5854317) (← links)
• Neural networks can detect model-free static arbitrage strategies (Q6622697) (← links)