On an optimization problem related to static super-replicating strategies

DOI10.1016/J.CAM.2014.10.003MaRDI QIDQ475663zbMATHOpenAlexFDO

Authors Xinliang Chen, Griselda Deelstra, J. Dhaene, D. Linders, Michèle Vanmaele

Publication date 27 November 2014

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

Full work available at URL https://doi.org/10.1016/j.cam.2014.10.003

zbMATH Keywords

basket optionscomonotonicityAsian optionssuper-hedging strategies

Mathematics Subject Classification ID

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

Recommendations

• Static super-replicating strategies for a class of exotic options
• scientific article; zbMATH DE number 1985275
• The super-replication problem via probabilistic methods
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Cites work

• An easy computable upper bound for the price of an arithmetic Asian option
• An optimization approach to the dynamic allocation of economic capital
• An overview of comonotonicity and its applications in finance and insurance
• Bounds for the price of discrete arithmetic Asian options
• Changes of numéraire, changes of probability measure and option pricing
• Economic Capital Allocation Derived from Risk Measures
• General Lower Bounds for Arithmetic Asian Option Prices
• Martingale methods in financial modelling.
• Optimal Pricing of a Heterogeneous Portfolio for a Given Risk Level
• Static super-replicating strategies for a class of exotic options
• Static-arbitrage upper bounds for the prices of basket options
• Statistics and Truth
• The concept of comonotonicity in actuarial science and finance: applications.
• The concept of comonotonicity in actuarial science and finance: theory.
• The herd behavior index: a new measure for the implied degree of co-movement in stock markets
• Weighted risk capital allocations

Cited in

(10)

• scientific article; zbMATH DE number 1897421 (Why is no real title available?)
• Probabilistic solutions for a class of deterministic optimal allocation problems
• scientific article; zbMATH DE number 1985275 (Why is no real title available?)
• General closed-form basket option pricing bounds
• A note on super-replicating strategies
• Static super-replicating strategies for a class of exotic options
• The multivariate variance gamma model: basket option pricing and calibration
• Comonotonic asset prices in arbitrage-free markets
• Value-at-Risk, Tail Value-at-Risk and upper tail transform of the sum of two counter-monotonic random variables
• American-type basket option pricing: a simple two-dimensional partial differential equation

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