Comparison results for path-dependent options

DOI10.1524/STND.2008.0912MaRDI QIDQ3536740zbMATH OpenOpenAlexFDO

Authors Jan Bergenthum, Ludger Rüschendorf

Publication date 21 November 2008

Published in Statistics & Decisions (Search for Journal in Brave)

Full work available at URL https://semanticscholar.org/paper/6c2860d14dc3095d53f30117bd6a6515bceb34be

zbMATH Keywords

convex orderlookback optionLévy processpath dependent optionssemimartingale

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Numerical solutions to stochastic differential and integral equations (65C30)

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• Robustness of Delta Hedging in a Jump-Diffusion Model
• Convex ordering for stochastic Volterra equations and their Euler schemes
• Convex ordering for stochastic control: the (path dependent) swing contracts case
• Comparison of option prices in semimartingale models

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