Static-arbitrage upper bounds for the prices of basket options

By David Hobson *, P. Laurence, Tai-Ho Wang. 2005

120 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/bfd753ea6ce754e71dced0132c3979f988053930

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Citations in the corpus

General closed-form basket option pricing bounds (2016, unknown): “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.”
Martingale optimal transport and robust hedging in continuous time (2012, result): “ and an explicit solution for the minimal super-replication cost is obtained. This approach is further developed by Brown, Hobson and Rogers [6], Cox and Obloj [10], [12] and in several other papers, [20, 21, 22, 23, 24, 25]. We refer the reader to the excellent survey of Hobson [20] for robust hedg”
The Skorokhod Embedding Problem and Model-Independent Bounds for Option Prices (2011, background): “It turns out that the model independent upper bound on the price of a basket option is associated with a model when the assets are co-monotonic, see Dhaene et al [21] or Hobson et al [34].”
Martingale optimal transport in the Skorokhod space (2014, result): “The structure studied in this paper is similar to that of [19] and also of [6, 9, 10, 11, 13, 14, 15, 18, 21, 22, 23, 24, 25, 27].”
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].”
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].”
Risk aggregation with dependence uncertainty (2014, background): “Convex expectations appear naturally in many practical problems such as basket options (Tankov (2011), d’Aspremont and El Ghaoui (2006), Hobson et al. (2005), Albrecher et al. (2008)), discrete variance options pricing (Keller-Ressel and Clauss (2012)), stop-loss premiums for aggregate risk,…”
Static-arbitrage optimal subreplicating strategies for basket options (2005, background): “The case of upper bounds was solved, in the general n-asset case, for both the continuum of strikes case and for the discrete set of strikes case, in our previous paper [ 13 ].”