On an optimization problem related to static super-replicating strategies
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Publication:475663
DOI10.1016/j.cam.2014.10.003zbMath1299.91140OpenAlexW2036184769MaRDI QIDQ475663
Daniël Linders, Michèle Vanmaele, Griselda Deelstra, Xinliang Chen, Jan Dhaene
Publication date: 27 November 2014
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.cam.2014.10.003
Related Items (6)
Value-at-Risk, Tail Value-at-Risk and upper tail transform of the sum of two counter-monotonic random variables ⋮ Probabilistic solutions for a class of deterministic optimal allocation problems ⋮ Comonotonic asset prices in arbitrage-free markets ⋮ American-type basket option pricing: a simple two-dimensional partial differential equation ⋮ General closed-form basket option pricing bounds ⋮ The multivariate Variance Gamma model: basket option pricing and calibration
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