MRL order, log-concavity and an application to peacocks-Reference-Cited by-同舟云学术

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MRL order, log-concavity and an application to peacocks

Published:2015-04 Issue:4 Volume:125 Page:1282-1306
ISSN:0304-4149
Container-title:Stochastic Processes and their Applications
language:en
Short-container-title:Stochastic Processes and their Applications

Author:

Bogso Antoine Marie

Publisher

Elsevier BV

Subject

Applied Mathematics,Modeling and Simulation,Statistics and Probability

Reference22 articles.

1. Une solution simple au problème de Skorokhod;Azéma,1979

2. A Brownian sheet martingale with the same marginals as the arithmetic average of geometric Brownian motion;Baker;Electron. J. Probab.,2009

3. An application of multivariate total positivity to peacocks;Bogso;ESAIM Probab. Stat.,2014

4. Peacocks obtained by normalisation, strong and very strong peacocks;Bogso,2012

5. On the qualitative effect of volatility and duration on prices of Asian options;Carr;Finance Res. Lett.,2008

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1. When Are Option Prices TP2 ?;2024

2. Mean Residual Life Processes and Associated Submartingales;Journal of Theoretical Probability;2018-10-16

3. Weak decreasing stochastic order;Statistics & Probability Letters;2017-07

4. On peacocks and lyrebirds: Australian options, Brownian bridges, and the average of submartingales;Mathematical Finance;2017-04-18

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