Static-arbitrage optimal subreplicating strategies for basket options
type: Item
instance of: scholarly article
title: Static-arbitrage optimal subreplicating strategies for basket options
zbMATH Open document ID: 1129.62424
author: Peter Laurence
author: Tai-Ho Wang
author: David Hobson
published in: Insurance Mathematics \& Economics
publication date: 2006-03-08T00:00:00Z
Mathematics Subject Classification ID: 62P05
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 90C90
zbMATH DE Number: 5009868
zbMATH Keywords: basket options
zbMATH Keywords: anti-monotonicity
zbMATH Keywords: subreplication
zbMATH Keywords: arbitrage-free bounds
zbMATH Keywords: copula
MaRDI profile type: Publication
full work available at URL: j.insmatheco.2005.05.010
OpenAlex ID: W2035481762
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DOI: 10.1016/J.INSMATHECO.2005.05.010
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description: scientific article; zbMATH DE number 5009868