Quantifying the error of convex order bounds for truncated first moments

DOI10.1016/j.insmatheco.2007.02.007zbMath1147.60011OpenAlexW2043629437MaRDI QIDQ939362

Karsten Brückner

Publication date: 22 August 2008

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2007.02.007

zbMATH Keywords

Asian optionsconvex ordersums of random variablesstop-loss-premiumstruncated first moments

Mathematics Subject Classification ID

Related Items (1)

Static-arbitrage lower bounds on the prices of basket options via linear programming

Cites Work

• Unnamed Item
• Bounds for Asian basket options
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• Pricing of arithmetic basket options by conditioning.
• Bounds for the price of discrete arithmetic Asian options
• Comparing Approximations for Risk Measures of Sums of Nonindependent Lognormal Random Variables
• The log-normal approximation in financial and other computations
• Another Proof that Convex Functions are Locally Lipschitz
• The value of an Asian option
• Upper and lower bounds for sums of random variables

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