Bounds for path-dependent options
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Publication:902179
DOI10.1007/s10436-015-0265-1zbMath1369.91173OpenAlexW1740478010MaRDI QIDQ902179
Donald J. Brown, Rustam Ibragimov, Johan Walden
Publication date: 7 January 2016
Published in: Annals of Finance (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/10044/1/67732
moment inequalitiesAsian optionsbinomial modeloption pricesoption boundstrinomial modelexpected payoffspath-dependent contingent claimssemiparametric bounds
Inequalities; stochastic orderings (60E15) Derivative securities (option pricing, hedging, etc.) (91G20)
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