On an optimization problem related to static super-replicating strategies

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

zbMATH Keywords

Asian optionscomonotonicitybasket optionssuper-hedging strategies

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

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

Cites Work

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• The concept of comonotonicity in actuarial science and finance: applications.
• An easy computable upper bound for the price of an arithmetic Asian option
• Bounds for the price of discrete arithmetic Asian options
• Static-arbitrage upper bounds for the prices of basket options
• General Lower Bounds for Arithmetic Asian Option Prices
• Optimal Pricing of a Heterogeneous Portfolio for a Given Risk Level
• Statistics and Truth
• Changes of numéraire, changes of probability measure and option pricing
• An Overview of Comonotonicity and Its Applications in Finance and Insurance
• Economic Capital Allocation Derived from Risk Measures

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