We consider the problem of determining the minimal requirement one must establish in order to meet a series of future random payments. It is shown in a very general setting that this problem can be recast as a chance constrained model and how the technique of Sample Average Approximation can be...

In Section 2 of Bernard et al. (2020), we study bounds on Range Value-at-Risk (RVaR) under the assumption of non-negative risk. However, Proposition 3 is erroneous, and hence Theorems 3, 4, and 5 and Corollary 5 are no longer valid. In this corrigendum, we provide a direct replacement of these...

An exchange option, also called “Margrabe option”, gives the right, but not the obligation to exchange an asset for another asset. In a recent paper in the Encyclopedia of Quantitative Finance (2010), Professor Rolf Poulsen writes that “[t]he Margrabe formula is still valid with stochastic...

Reformulating the results of del Baño Rollin, Ferreiro-Castilla, and Utzet (2010), we are able to give necessary and sufficient conditions for the moments of the stock price to exist and extend Theorem 2.1 of Forde and Jacquier (2011). Precisely Forde and Jacquier (2011) provide necessary...