Static-arbitrage optimal subreplicating strategies for basket options

DOI10.1016/j.insmatheco.2005.05.010zbMath1129.62424MaRDI QIDQ817290

Peter Laurence, Tai-Ho Wang, David G. Hobson

Publication date: 8 March 2006

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2005.05.010

zbMATH Keywords

copula; basket options; anti-monotonicity; arbitrage-free bounds; subreplication

Mathematics Subject Classification ID

62P05: Applications of statistics to actuarial sciences and financial mathematics

90C90: Applications of mathematical programming

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

Related Items

SPARSE CALIBRATIONS OF CONTINGENT CLAIMS, Sharp distribution free lower bounds for spread options and the corresponding optimal subreplicating portfolios, Measuring the coupled risks: A copula-based CVaR model, Improved Fréchet Bounds and Model-Free Pricing of Multi-Asset Options, Static-arbitrage lower bounds on the prices of basket options via linear programming, A novel feasible discretization method for linear semi-infinite programming applied to basket option pricing, General Lower Bounds for Arithmetic Asian Option Prices, COMPUTING BOUNDS ON RISK-NEUTRAL DISTRIBUTIONS FROM THE OBSERVED PRICES OF CALL OPTIONS

Cites Work

• The concept of comonotonicity in actuarial science and finance: applications.
• Pricing of arithmetic basket options by conditioning.
• Static-arbitrage upper bounds for the prices of basket options
• On the Relation Between Option and Stock Prices: A Convex Optimization Approach
• Approximated moment-matching dynamics for basket-options pricing
• Sharp Upper and Lower Bounds for Basket Options
• Upper and lower bounds for sums of random variables
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item