Option bounds
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Publication:4822458
DOI10.1239/jap/1082552196zbMath1104.91044MaRDI QIDQ4822458
Victor H. de la Peña, Rustam Ibragimov, Steve Jordan
Publication date: 25 October 2004
Published in: Journal of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://semanticscholar.org/paper/485bc7ad10d8cbc09757b9cbc0533c7690d35d60
91G20: Derivative securities (option pricing, hedging, etc.)
Related Items
Third-order extensions of Lo's semiparametric bound for European call options, Semiparametric bounds of mean and variance for exotic options, Static-arbitrage lower bounds on the prices of basket options via linear programming
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