SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Improved Fréchet Bounds and Model-Free Pricing of Multi-Asset Options
5 references·4 citing·33 second hop
Improved Fréchet Bounds and Model-Free Pricing of Multi-Asset Options (2011)Improved Fréchet Bounds and Model-Free Pr…Static-arbitrage upper bounds for the prices of basket options (2005)Static-arbitrage upper bounds…Best-possible bounds on sets of bivariate distribution functions (2003)Best-possible bounds on sets …An Introduction to Copulas (1999)An Introduction to CopulasA Characterization of Quasi-copulas (1999)A Characterization of Quasi-c…Dependency of Risks and Stop-Loss Order (1996)Dependency of Risks and Stop-…Improved Fréchet–Hoeffding bounds on $d$-copulas and applications in model-free finance (2017)Improved Fréchet–Hoeffding bo…BOUNDING WRONG‐WAY RISK IN CVA CALCULATION (2016)BOUNDING WRONG‐WAY RISK IN CV…Explicit Representation of Cost-Efficient Strategies (2014)Explicit Representation of Co…Explicit Representation of Cost-Efficient Strategies (2012)Explicit Representation of Co…Prices of State-Contingent Claims Implicit in Option Prices (1978)The concept of comonotonicity in actuarial science and finance: applications (2002)Mathematical Models of Financial Derivatives (2008)Static super-replicating strategies for a class of exotic options (2008)Risk aggregation with dependence uncertainty (2013)Robust price bounds for the forward starting straddle (2014)An introduction to mathematical risk theory (1979)Comparison Methods for Queues and Other Stochastic Models (1984)Comparison Methods for Queues and Other Stochastic Models. (1986)Stop-loss order for portfolios of dependent risks (1997)Comonotonicity, correlation order and premium principles (1998)Upper and lower bounds or sum of random variables (2000)PORTFOLIO SELECTION* (1952)Optimum consumption and portfolio rules in a continuous-time model (1971)Advances in prospect theory: Cumulative representation of uncertainty (1992)The concept of comonotonicity in actuarial science and finance: theory (2002)Dynamic preferences for popular investment strategies in pension funds (2014)Rationalizing investors’ choices (2015)On the construction of optimal payoffs (2019)Theory of games and economic behavior (2019)Robustness (2007)Robust Solutions of Optimization Problems Affected by Uncertain Probabilities (2012)Mathematical Risk Analysis (2013)Disentangling wrong-way risk: pricing credit valuation adjustment via change of measures (2018)Transitivity frameworks for reciprocal relations: cycle-transitivity versus -transitivity (2004)Copulas: A Review and Recent Developments (2006)On the construction of copulas and quasi-copulas with given diagonal sections (2007)On a family of copulas constructed from the diagonal section (2005)COPULAS WITH GIVEN DIAGONAL SECTIONS: NOVEL CONSTRUCTIONS AND APPLICATIONS (2007)Copulas in Econometrics (2014)Quantitative Risk Management: Concepts, Techniques, and Tools (2005)MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)Introductory Econometrics for Finance (2008)
this work references cited by second hop

References

  • 1999An Introduction to Copulas7,743 cited
  • 1996Dependency of Risks and Stop-Loss Order224 cited
  • 1999A Characterization of Quasi-copulas204 cited
  • 2005Static-arbitrage upper bounds for the prices of basket options128 cited
  • 2003Best-possible bounds on sets of bivariate distribution functions96 cited

Cited by

  • 2014Explicit Representation of Cost-Efficient Strategies47 cited
  • 2017Improved Fréchet–Hoeffding bounds on $d$-copulas and applications in model-free finance29 cited
  • 2012Explicit Representation of Cost-Efficient Strategies29 cited
  • 2016BOUNDING WRONG‐WAY RISK IN CVA CALCULATION28 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work