Distribution-free upper bounds for spread options and market-implied antimonotonicity gap
Year of publication: |
2008
|
---|---|
Authors: | Laurence, Peter ; Wang, Tai-Ho |
Published in: |
The European Journal of Finance. - Taylor & Francis Journals, ISSN 1351-847X. - Vol. 14.2008, 8, p. 717-734
|
Publisher: |
Taylor & Francis Journals |
Subject: | antimonotonicity gap | arbitrage-free bounds | codependence | copula | spread options | super-replication |
-
Static-arbitrage upper bounds for the prices of basket options
Hobson, David, (2005)
-
CHINA'S FINANCIAL MARKET INTEGRATION WITH THE WORLD
Johansson, Anders C., (2009)
-
On the Range of Admissible Term-Structures
Cousin, Areski, (2014)
- More ...
-
Static-arbitrage upper bounds for the prices of basket options
Hobson, David, (2005)
-
Generalized uncorrelated SABR models with a high degree of symmetry
Wang, Tai-Ho, (2010)
-
Sharp Upper and Lower Bounds for Basket Options
Laurence, Peter, (2005)
- More ...