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

semimartingalelookback optionconvex orderpath dependent optionsLévy process

Mathematics Subject Classification ID

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

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