Pages that link to "Item:Q3375374"

The following pages link to Static-arbitrage upper bounds for the prices of basket options (Q3375374):

Displaying 50 items.

• Risk management for international portfolios with basket options: A multi-stage stochastic programming approach (Q256732) (← links)
• Model-independent superhedging under portfolio constraints (Q261914) (← links)
• Pricing and hedging basket options with exact moment matching (Q343968) (← links)
• Model-independent bounds for option prices -- a mass transport approach (Q354188) (← links)
• The herd behavior index: a new measure for the implied degree of co-movement in stock markets (Q414600) (← links)
• Properties of optimal smooth functions in additive models for hedging multivariate derivatives (Q436951) (← links)
• Martingale optimal transport and robust hedging in continuous time (Q466902) (← links)
• On an optimization problem related to static super-replicating strategies (Q475663) (← links)
• Robust price bounds for the forward starting straddle (Q486935) (← links)
• Martingale optimal transport in the Skorokhod space (Q492958) (← links)
• Model uncertainty and the pricing of American options (Q503400) (← links)
• Computing lower bounds on basket option prices by discretizing semi-infinite linear programming (Q518129) (← links)
• Approximate basket options valuation for a jump-diffusion model (Q659118) (← links)
• Comonotonic approximations of risk measures for variable annuity guaranteed benefits with dynamic policyholder behavior (Q730548) (← links)
• On sums of two counter-monotonic risks (Q784393) (← links)
• Static-arbitrage optimal subreplicating strategies for basket options (Q817290) (← links)
• Pricing and hedging Asian basket spread options (Q848538) (← links)
• Static super-replicating strategies for a class of exotic options (Q931201) (← links)
• Bounds for Asian basket options (Q932705) (← 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)
• Optimal hedging of basket barrier options with additive models and its application to equity value separation problem (Q1627805) (← links)
• Improved Fréchet-Hoeffding bounds on \(d\)-copulas and applications in model-free finance (Q1704147) (← links)
• Computing arbitrage upper bounds on basket options in the presence of bid-ask spreads (Q1926944) (← links)
• Risk aggregation with dependence uncertainty (Q2015478) (← links)
• A model-free approach to multivariate option pricing (Q2047036) (← links)
• Comonotonic asset prices in arbitrage-free markets (Q2279857) (← links)
• A Black-Scholes inequality: applications and generalisations (Q2282961) (← links)
• Static arbitrage bounds on basket option prices (Q2492673) (← links)
• Detection of arbitrage opportunities in multi-asset derivatives markets (Q2667758) (← links)
• Dependence bounds for the difference of stop-loss payoffs on the difference of two random variables (Q2682971) (← links)
• Model-independent lower bound on variance swaps (Q2831008) (← links)
• On optimal super-hedging and sub-hedging strategies (Q2862515) (← links)
• Arithmetic Asian Options under Stochastic Delay Models (Q2889598) (← links)
• FIX: The Fear Index—Measuring Market Fear (Q2920952) (← links)
• Improved Fréchet Bounds and Model-Free Pricing of Multi-Asset Options (Q3014980) (← 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)
• General Lower Bounds for Arithmetic Asian Option Prices (Q3502206) (← links)
• Optimal static quadratic hedging (Q4554507) (← links)
• General closed-form basket option pricing bounds (Q5001150) (← links)
• Marginal and Dependence Uncertainty: Bounds, Optimal Transport, and Sharpness (Q5037497) (← links)
• SPARSE CALIBRATIONS OF CONTINGENT CLAIMS (Q5190053) (← links)
• Sharp Upper and Lower Bounds for Basket Options (Q5700151) (← links)
• BOUNDS ON MULTI-ASSET DERIVATIVES VIA NEURAL NETWORKS (Q5854317) (← links)
• Value-at-Risk, Tail Value-at-Risk and upper tail transform of the sum of two counter-monotonic random variables (Q5887316) (← links)
• Perturbation analysis of sub/super hedging problems (Q6054380) (← links)
• Neural networks can detect model-free static arbitrage strategies (Q6622697) (← links)
• Efficient pricing and calibration of high-dimensional basket options (Q6625110) (← links)