Pages that link to "Item:Q2492673"
From MaRDI portal
The following pages link to Static arbitrage bounds on basket option prices (Q2492673):
Displayed 23 items.
- An explicit martingale version of the one-dimensional Brenier theorem (Q309163) (← links)
- Robust price bounds for the forward starting straddle (Q486935) (← links)
- Computing lower bounds on basket option prices by discretizing semi-infinite linear programming (Q518129) (← links)
- Sharp distribution free lower bounds for spread options and the corresponding optimal subreplicating portfolios (Q1003813) (← links)
- Third-order extensions of Lo's semiparametric bound for European call options (Q1026788) (← links)
- Semiparametric bounds of mean and variance for exotic options (Q1042983) (← 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)
- Risk aggregation with dependence uncertainty (Q2015478) (← links)
- Optimizing bounds on security prices in incomplete markets. Does stochastic volatility specification matter? (Q2253520) (← 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)
- 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)
- THE RANGE OF TRADED OPTION PRICES (Q3446056) (← links)
- Multiasset Derivatives and Joint Distributions of Asset Prices (Q4561945) (← links)
- General closed-form basket option pricing bounds (Q5001150) (← links)
- Marginal and Dependence Uncertainty: Bounds, Optimal Transport, and Sharpness (Q5037497) (← links)
- Gain-loss pricing under ambiguity of measure (Q5189212) (← links)
- SPARSE CALIBRATIONS OF CONTINGENT CLAIMS (Q5190053) (← links)
- BOUNDS ON MULTI-ASSET DERIVATIVES VIA NEURAL NETWORKS (Q5854317) (← links)