Search Results - person:"Bergenthum, Jan"

Comparison results for path-dependent options

Jan, Bergenthum; Ludger, Rüschendorf - In: Statistics & Risk Modeling 26 (2008) 1, pp. 53-72

In this paper comparison results of convex type are established for several path-dependent options in some classes of semimartingale models. The options considered are some classes of lookback options, Asian and American options and barrier options. Comparison of the path-dependent options is...

Persistent link: https://www.econbiz.de/10011015705

Comparison of Option Prices in Semimartingale Models

Bergenthum, Jan; Rüschendorf, Ludger - In: Finance and Stochastics 10 (2006) 2, pp. 222-249

Persistent link: https://www.econbiz.de/10005390733

Comparison of option prices in seminartingale models

Bergenthum, Jan; Rüschendorf, Ludger - In: Finance and stochastics 10 (2006) 2, pp. 222-249

Persistent link: https://www.econbiz.de/10003334918

Comparison of Option Prices in Semimartingale Models

Bergenthum, Jan; Rüschendorf, Ludger - In: Finance and stochastics 10 (2006) 2, pp. 222-249

Persistent link: https://www.econbiz.de/10008222669

Comparison of option prices in semimartingale models

Bergenthum, Jan; Rüschendorf, Ludger - In: Preprint / Albert-Ludwigs-Universität Freiburg, … Nr. 2004,11 (2004)

Persistent link: https://www.econbiz.de/10004800482