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Distribution-free upper bounds for spread options and market-implied antimonotonicity gap
16 references·2 citing·32 second hop
Distribution-free upper bounds for spread options and market-implied antimonotonicity gap (2008)Distribution-free upper bounds for spread…Mathematical Models of Financial Derivatives (2008)Mathematical Models of Financ…Theory of rational option pricing (2005)Theory of rational option pri…Pricing and Hedging Spread Options (2003)Pricing and Hedging Spread Op…The concept of comonotonicity in actuarial science and finance: theory (2002)The concept of comonotonicity…On the Relation Between Option and Stock Prices: A Convex Optimization Approach (2002)On the Relation Between Optio…Robust Hedging of Barrier Options (2001)Robust Hedging of Barrier Opt…Upper and lower bounds or sum of random variables (2000)Upper and lower bounds or sum…The Variance Gamma Process and Option Pricing (1998)The Variance Gamma Process an…Robust hedging of the lookback option (1998)Robust hedging of the lookbac…Dependency of Risks and Stop-Loss Order (1996)Dependency of Risks and Stop-…Uncertain volatility and the risk-free synthesis of derivatives (1995)Uncertain volatility and the …Pricing and hedging derivative securities in markets with uncertain volatilities (1995)Pricing and hedging derivativ…The Pricing of Options on Assets with Stochastic Volatilities (1987)The Pricing of Options on Ass…Prices of State-Contingent Claims Implicit in Option Prices (1978)Prices of State-Contingent Cl…Option pricing when underlying stock returns are discontinuous (1976)Option pricing when underlyin…Theory of Rational Option Pricing (1973)Theory of Rational Option Pri…A framework for robust measurement of implied correlation (2014)A framework for robust measur…Sharp distribution free lower bounds for spread options and the corresponding optimal subreplicating portfolios (2008)Sharp distribution free lower…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Theory of Value (1959)Implied Binomial Trees (1994)Implied Volatility Functions: Empirical Tests (1998)Resurrecting the (C)CAPM: A Cross‐Sectional Test When Risk Premia Are Time‐Varying (2001)The Pricing of Options and Corporate Liabilities (1973)Martingales and arbitrage in multiperiod securities markets (1979)G-Expectation, G-Brownian Motion and Related Stochastic Calculus of Itô Type (2007)Function Spaces and Capacity Related to a Sublinear Expectation: Application to G-Brownian Motion Paths (2010)Nonlinear Expectations and Stochastic Calculus under Uncertainty (2019)Martingales and stochastic integrals in the theory of continuous trading (1981)Stochastic Differential Equations and Diffusion Processes (1983)A theoretical framework for the pricing of contingent claims in the presence of model uncertainty (2006)MODEL UNCERTAINTY AND ITS IMPACT ON THE PRICING OF DERIVATIVE INSTRUMENTS (2006)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Continuous Martingales and Brownian Motion (1999)Option valuation using the fast Fourier transform (1999)A Jump-Diffusion Model for Option Pricing (2002)Power and Bipower Variation with Stochastic Volatility and Jumps (2004)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Option pricing: A simplified approach (1979)The Value of Waiting to Invest (1982)Correlation and Dependence in Risk Management: Properties and Pitfalls (2002)The concept of comonotonicity in actuarial science and finance: applications (2002)Actuarial Theory for Dependent Risks: Measures, Orders and Models (2005)Constructing Uncertainty Sets for Robust Linear Optimization (2009)An experimental analysis of multi-attribute auctions (2000)PRICING OF THE AMERICAN PUT UNDER LÉVY PROCESSES (2004)Convergence of Monte Carlo simulations involving the mean-reverting square root process (2005)Measuring and Testing the Impact of News on Volatility (1993)Introductory Econometrics for Finance (2008)
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  • 1998Robust hedging of the lookback option279 cited
  • 1996Dependency of Risks and Stop-Loss Order224 cited
  • 2002On the Relation Between Option and Stock Prices: A Convex Optimization Approach203 cited
  • 2000Upper and lower bounds or sum of random variables190 cited
  • 2001Robust Hedging of Barrier Options

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Cited by

  • 2014A framework for robust measurement of implied correlation25 cited
  • 2008Sharp distribution free lower bounds for spread options and the corresponding optimal subreplicating portfolios25 cited