Static-arbitrage optimal subreplicating strategies for basket options
By David Hobson *, P. Laurence, Tai-Ho Wang. 2005
55 citations recorded by the source corpus.
Subfields: Finance
View Paper: https://www.semanticscholar.org/paper/058ac5b6eb37d921e587223a1f64fa808250a8fc
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In Finance
- Gianluca Fusai
- Alessandro Gnoatto
- Ruggero Caldana
- Martino Grasselli
- Peter Tankov
- Ekaterina Voltchkova
- Steven Kou
- Attilio Meucci
Citations in the corpus
- Improved Fréchet Bounds and Model-Free Pricing of Multi-Asset Options (2010, background): “The classical Fréchet–Hoeffding bounds therefore lead to model-free price estimates for such options [1], [4], [5], [12].”
- General closed-form basket option pricing bounds (2016, background): “Looking at the remaining literature, the model free bounds of Hobson et al. (2005b) and Laurence and Wang (2008) are the only bounds so general to cover all the models and the basket sizes we are interested in.”
- Model-independent bounds for option prices—a mass transport approach (2011, unknown): “, S) observed at the same time T [6, 9, 24, 25, 29, 30].”