Avanesyan, Levon; Shkolnikov, Mykhaylo; Sircar, Ronnie Construction of a class of forward performance processes in stochastic factor models, and an extension of Widder’s theorem. (English) Zbl 1454.35388 Finance Stoch. 24, No. 4, 981-1011 (2020). MSC: 35Q91 35K55 91G10 35J15 60H10 44A10 35R25 35P99 PDFBibTeX XMLCite \textit{L. Avanesyan} et al., Finance Stoch. 24, No. 4, 981--1011 (2020; Zbl 1454.35388) Full Text: DOI arXiv
d’Aspremont, Alexandre; El Ghaoui, Laurent Static arbitrage bounds on basket option prices. (English) Zbl 1099.91067 Math. Program. 106, No. 3 (A), 467-489 (2006). Reviewer: Klaus Schürger (Bonn) MSC: 91B28 44A12 44A60 90C05 90C34 PDFBibTeX XMLCite \textit{A. d'Aspremont} and \textit{L. El Ghaoui}, Math. Program. 106, No. 3 (A), 467--489 (2006; Zbl 1099.91067) Full Text: DOI arXiv