Static super-replicating strategies for a class of exotic options
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Publication:931201
DOI10.1016/J.INSMATHECO.2008.01.002zbMATH Open1141.91427OpenAlexW2067696123MaRDI QIDQ931201FDOQ931201
Authors: Xinliang Chen, Griselda Deelstra, J. Dhaene, Michèle Vanmaele 
Publication date: 25 June 2008
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2008.01.002
Recommendations
Derivative securities (option pricing, hedging, etc.) (91G20) Inequalities; stochastic orderings (60E15)
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Cited In (31)
- Model-Independent Bounds for Asian Options: A Dynamic Programming Approach
- Marginal and dependence uncertainty: bounds, optimal transport, and sharpness
- Risk management for international portfolios with basket options: A multi-stage stochastic programming approach
- Model-independent superhedging under portfolio constraints
- Robust static super-replication of barrier options
- Cross-hedging minimum return guarantees: basis and liquidity risks
- Model-independent bounds for option prices -- a mass transport approach
- American-type basket option pricing: a simple two-dimensional partial differential equation
- Pricing and hedging Asian basket spread options
- A short note on super-hedging an arbitrary number of European options with integer-valued strategies
- Consistent upper price bounds for exotic options
- Static-arbitrage optimal subreplicating strategies for basket options
- 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
- Static replication of European multi-asset options with homogeneous payoff
- Efficient pricing and calibration of high-dimensional basket options
- 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
- Comonotonic asset prices in arbitrage-free markets
- 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
- Bounds on multi-asset derivatives via neural networks
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