Option bounds
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Publication:4822458
DOI10.1239/jap/1082552196zbMath1104.91044OpenAlexW4230066959MaRDI QIDQ4822458
Steve Jordan, Victor H. de la Peña, Rustam Ibragimov
Publication date: 25 October 2004
Published in: Journal of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://semanticscholar.org/paper/485bc7ad10d8cbc09757b9cbc0533c7690d35d60
Related Items (8)
Computing arbitrage upper bounds on basket options in the presence of bid-ask spreads ⋮ Bounds for path-dependent options ⋮ Exact Lower Bounds on the Exponential Moments of Truncated Random Variables ⋮ Positive-part moments via the Fourier-Laplace transform ⋮ Static-arbitrage lower bounds on the prices of basket options via linear programming ⋮ Third-order extensions of Lo's semiparametric bound for European call options ⋮ Semiparametric bounds of mean and variance for exotic options ⋮ Some Improvements on Markov's Theorem with Extensions
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