On an optimization problem related to static super-replicating strategies

DOI10.1016/J.CAM.2014.10.003zbMATH Open1299.91140OpenAlexW2036184769MaRDI QIDQ475663FDOQ475663

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

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zbMATH Keywords

basket optionscomonotonicityAsian optionssuper-hedging strategies

Mathematics Subject Classification ID

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

Cites Work

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

Cited In (10)

• American-type basket option pricing: a simple two-dimensional partial differential equation
• Static super-replicating strategies for a class of exotic options
• A note on super-replicating strategies
• Value-at-Risk, Tail Value-at-Risk and upper tail transform of the sum of two counter-monotonic random variables
• Comonotonic asset prices in arbitrage-free markets
• The multivariate variance gamma model: basket option pricing and calibration
• Title not available (Why is that?)
• Probabilistic solutions for a class of deterministic optimal allocation problems
• General closed-form basket option pricing bounds
• Title not available (Why is that?)

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