Sharp distribution free lower bounds for spread options and the corresponding optimal subreplicating portfolios

DOI10.1016/j.insmatheco.2008.09.007zbMath1155.91387OpenAlexW2077357000MaRDI QIDQ1003813

Peter Laurence, Tai-Ho Wang

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

zbMATH Keywords

copulaoptimizationlinear programmingcomonotonicitydistribution free boundsspread option pricing

Mathematics Subject Classification ID

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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• General Lower Bounds for Arithmetic Asian Option Prices
• On the Relation Between Option and Stock Prices: A Convex Optimization Approach
• Pricing and Hedging Spread Options
• Sharp Upper and Lower Bounds for Basket Options

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