Sharp distribution free lower bounds for spread options and the corresponding optimal subreplicating portfolios (Q1003813)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Sharp distribution free lower bounds for spread options and the corresponding optimal subreplicating portfolios |
scientific article; zbMATH DE number 5523254
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Sharp distribution free lower bounds for spread options and the corresponding optimal subreplicating portfolios |
scientific article; zbMATH DE number 5523254 |
Statements
Sharp distribution free lower bounds for spread options and the corresponding optimal subreplicating portfolios (English)
0 references
4 March 2009
0 references
comonotonicity
0 references
copula
0 references
distribution free bounds
0 references
linear programming
0 references
optimization
0 references
spread option pricing
0 references
