Static super-replicating strategies for a class of exotic options
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Cites work
- scientific article; zbMATH DE number 605729 (Why is no real title available?)
- scientific article; zbMATH DE number 765034 (Why is no real title available?)
- A Simple Geometric Proof that Comonotonic Risks Have the Convex-Largest Sum
- A YIELD‐FACTOR MODEL OF INTEREST RATES
- An easy computable upper bound for the price of an arithmetic Asian option
- An equilibrium characterization of the term structure
- Bounds for Asian basket options
- Bounds for the price of a European-style Asian option in a binary tree model
- Bounds for the price of discrete arithmetic Asian options
- Comonotonicity and maximal stop-loss premiums
- Comonotonicity, correlation order and premium principles
- Convex majorization with an application to the length of critical paths
- Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market
- Solution of a statistical optimization problem by rearrangement methods
- Static-arbitrage upper bounds for the prices of basket options
- Stop-loss order for portfolios of dependent risks
- The concept of comonotonicity in actuarial science and finance: applications.
- The concept of comonotonicity in actuarial science and finance: theory.
- Upper and lower bounds for sums of random variables
Cited in
(31)- Bounds on multi-asset derivatives via neural networks
- Risk management for international portfolios with basket options: A multi-stage stochastic programming approach
- Model-Independent Bounds for Asian Options: A Dynamic Programming Approach
- Marginal and dependence uncertainty: bounds, optimal transport, and sharpness
- Model-independent superhedging under portfolio constraints
- Model-independent bounds for option prices -- a mass transport approach
- Cross-hedging minimum return guarantees: basis and liquidity risks
- Robust static super-replication of barrier options
- American-type basket option pricing: a simple two-dimensional partial differential equation
- Pricing and hedging Asian basket spread options
- Static-arbitrage optimal subreplicating strategies for basket options
- Consistent upper price bounds for exotic options
- A short note on super-hedging an arbitrary number of European options with integer-valued strategies
- Comonotonic approximations of risk measures for variable annuity guaranteed benefits with dynamic policyholder behavior
- A model-free approach to multivariate option pricing
- General Lower Bounds for Arithmetic Asian Option Prices
- Sharp distribution free lower bounds for spread options and the corresponding optimal subreplicating portfolios
- Value-at-Risk, Tail Value-at-Risk and upper tail transform of the sum of two counter-monotonic random variables
- FIX: the fear index -- measuring market fear
- Improved Fréchet-Hoeffding bounds on d-copulas and applications in model-free finance
- The herd behavior index: a new measure for the implied degree of co-movement in stock markets
- Static replication of European multi-asset options with homogeneous payoff
- Comonotonic asset prices in arbitrage-free markets
- Efficient pricing and calibration of high-dimensional basket options
- On an optimization problem related to static super-replicating strategies
- Uncertainty quantification of derivative instruments
- Approximate basket options valuation for a jump-diffusion model
- On optimal super-hedging and sub-hedging strategies
- Bounds for Asian basket options
- General closed-form basket option pricing bounds
- A solution to the multidimensionality in option pricing
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