scientific article; zbMATH DE number 1302646

MaRDI QIDQ4249197zbMATH OpenFDO

Authors Christer Borell

Publication date 2 September 1999

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

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)

Recommendations

• Geometric bounds on certain sublinear functionals of geometric Brownian motion
• Option pricing under general geometric Riemannian Brownian motions
• Options prices in incomplete markets
• Option pricing on multiple assets
• scientific article; zbMATH DE number 1497173

Cited in

(11)

• The Cauchy process and the Steklov problem
• On the shape of the ground state eigenfunction for stable processes
• 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
• scientific article; zbMATH DE number 5670604 (Why is no real title available?)

This page was built for publication:

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4249197)