Sharp distribution free lower bounds for spread options and the corresponding optimal subreplicating portfolios
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Publication:1003813
DOI10.1016/j.insmatheco.2008.09.007zbMath1155.91387OpenAlexW2077357000MaRDI QIDQ1003813
Publication date: 4 March 2009
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2008.09.007
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Related Items (7)
Value-at-Risk, Tail Value-at-Risk and upper tail transform of the sum of two counter-monotonic random variables ⋮ Exchangeability-type properties of asset prices ⋮ Computing arbitrage upper bounds on basket options in the presence of bid-ask spreads ⋮ Dependence bounds for the difference of stop-loss payoffs on the difference of two random variables ⋮ Computing best bounds for nonlinear risk measures with partial information ⋮ MODEL-INDEPENDENT LOWER BOUND ON VARIANCE SWAPS ⋮ ON OPTIMAL SUPER-HEDGING AND SUB-HEDGING STRATEGIES
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