scientific article; zbMATH DE number 1302646

zbMATH Open1050.91036MaRDI QIDQ4249197FDOQ4249197

Authors: Christer Borell 

Publication date: 2 September 1999

Full work available at URL: http://www.msri.org/communications/books/Book34/

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zbMATH Keywords

optionsisoperimetric inequality

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Inequalities; stochastic orderings (60E15) Brownian motion (60J65) Inequalities and extremum problems involving convexity in convex geometry (52A40)

Cited In (11)

• On the shape of the ground state eigenfunction for stable processes
• The Cauchy process and the Steklov problem
• The American put is log-concave in the log-price
• Parametric solution for geometric pricing
• A new elementary geometric approach to option pricing bounds in discrete time models
• Optimal geometric mean returns of stocks and their options
• The Brunn-Minkowski inequality
• Geometric pricing of games
• Convexity theory for the term structure equation
• On certain exponential regularity for Gaussian processes
• Title not available (Why is that?)

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