Comparison results for path-dependent options

DOI10.1524/STND.2008.0912zbMATH Open1151.60308OpenAlexW1963984892MaRDI QIDQ3536740FDOQ3536740

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)

Cited In (8)

• How to use self-similarities to discover similarities of path-dependent options
• Title not available (Why is that?)
• Path averaged option value criteria for selecting better options
• Monotone convex order for the McKean-Vlasov processes
• Convex Order for Path-Dependent Derivatives: A Dynamic Programming Approach
• Convex ordering for stochastic Volterra equations and their Euler schemes
• Robustness of Delta Hedging in a Jump-Diffusion Model
• Optimality of payoffs in Lévy models

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