Static-arbitrage optimal subreplicating strategies for basket options
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Publication:817290
DOI10.1016/j.insmatheco.2005.05.010zbMath1129.62424OpenAlexW2035481762MaRDI QIDQ817290
Tai-Ho Wang, Peter Laurence, 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
Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of mathematical programming (90C90) Derivative securities (option pricing, hedging, etc.) (91G20)
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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
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