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Option pricing theory
Theorie
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Theory
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Convex order
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convex order
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Risikomaß
16
Risk measure
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Risiko
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Risk
15
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Messung
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Stochastischer Prozess
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Complete mixability
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Mutual exclusivity
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Mathematical programming
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Mathematische Optimierung
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Fréchet bounds
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Tail Value-at-Risk
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mutual exclusivity
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stop-loss transform
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Comonotonicity
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Martingal
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Martingale
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Optionspreistheorie
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Portfolio selection
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Portfolio-Management
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Statistical distribution
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Statistische Verteilung
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Value-at-Risk
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risk measures
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tail convex order
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Alfonsi, Aurélien
1
Bäuerle, Nicole
1
Corbetta, Jacopo
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Ewald, Christian-Oliver
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Guyon, Julien
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Jourdain, Benjamin
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International journal of theoretical and applied finance
2
Mathematical finance : an international journal of mathematics, statistics and financial economics
1
Quantitative finance
1
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ECONIS (ZBW)
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On peacocks and lyrebirds : Australian options, Brownian bridges, and the average of submartingales
Ewald, Christian-Oliver
;
Yor, Marc
- In:
Mathematical finance : an international journal of …
28
(
2018
)
2
,
pp. 536-549
Persistent link: https://www.econbiz.de/10011969088
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2
Inversion of convex ordering in the VIX market
Guyon, Julien
- In:
Quantitative finance
20
(
2020
)
10
,
pp. 1597-1623
Persistent link: https://www.econbiz.de/10012295626
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3
Consistent upper price bounds for exotic options
Bäuerle, Nicole
;
Schmithals, Daniel Matthias
- In:
International journal of theoretical and applied finance
24
(
2021
)
2
,
pp. 1-29
Persistent link: https://www.econbiz.de/10012650310
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4
Sampling of one-dimensional probability measures in the convex order and computation of robust option price bounds
Alfonsi, Aurélien
;
Corbetta, Jacopo
;
Jourdain, Benjamin
- In:
International journal of theoretical and applied finance
22
(
2019
)
3
,
pp. 1-41
Persistent link: https://www.econbiz.de/10012019745
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