Pages that link to "Item:Q5700151"
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The following pages link to Sharp Upper and Lower Bounds for Basket Options (Q5700151):
Displaying 25 items.
- Model-independent superhedging under portfolio constraints (Q261914) (← links)
- An explicit martingale version of the one-dimensional Brenier theorem (Q309163) (← links)
- Pricing and hedging basket options with exact moment matching (Q343968) (← links)
- Model-independent bounds for option prices -- a mass transport approach (Q354188) (← links)
- Computing lower bounds on basket option prices by discretizing semi-infinite linear programming (Q518129) (← links)
- On sums of two counter-monotonic risks (Q784393) (← links)
- Static-arbitrage optimal subreplicating strategies for basket options (Q817290) (← links)
- SDP relaxation of arbitrage pricing bounds based on option prices and moments (Q848736) (← links)
- Sharp distribution free lower bounds for spread options and the corresponding optimal subreplicating portfolios (Q1003813) (← links)
- Third-order extensions of Lo's semiparametric bound for European call options (Q1026788) (← links)
- Semiparametric bounds of mean and variance for exotic options (Q1042983) (← links)
- Computing arbitrage upper bounds on basket options in the presence of bid-ask spreads (Q1926944) (← links)
- Static arbitrage bounds on basket option prices (Q2492673) (← links)
- Model-independent lower bound on variance swaps (Q2831008) (← links)
- European basket option pricing by maximizing over a subset of lower bounds (Q2862816) (← links)
- Technical Note—A Risk- and Ambiguity-Averse Extension of the Max-Min Newsvendor Order Formula (Q2935298) (← links)
- Static-arbitrage lower bounds on the prices of basket options via linear programming (Q3063848) (← links)
- A novel feasible discretization method for linear semi-infinite programming applied to basket option pricing (Q3111142) (← links)
- Quantile hedging for basket derivatives (Q3113660) (← links)
- Integral representations of risk functions for basket derivatives (Q3144062) (← links)
- Static-arbitrage upper bounds for the prices of basket options (Q3375374) (← links)
- Accurate closed-form approximation for pricing Asian and basket options (Q3552634) (← links)
- General closed-form basket option pricing bounds (Q5001150) (← links)
- SPARSE CALIBRATIONS OF CONTINGENT CLAIMS (Q5190053) (← links)
- BOUNDS ON MULTI-ASSET DERIVATIVES VIA NEURAL NETWORKS (Q5854317) (← links)