Comonotonic asset prices in arbitrage-free markets

DOI10.1016/j.cam.2019.06.026zbMath1430.91108OpenAlexW2954609961MaRDI QIDQ2279857

Jan Dhaene, Daniël Linders, Alexander G. Kukush

Publication date: 16 December 2019

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://lirias.kuleuven.be/handle/123456789/665496

zbMATH Keywords

Asian optionscomonotonicitybasket optionsarbitrage-free market

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Financial markets (91G15)

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A tail measure with variable risk tolerance: application in dynamic portfolio insurance strategy, American-type basket option pricing: a simple two-dimensional partial differential equation

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