Supermodular comparison inequalities in option pricing and information inequalities
This thesis is devoted to find necessary and sufficient conditions for supermodular ordering of Poisson random vectors, to bound option prices for multidimensional Ornstein-Uhlenbeck process and multidimensional jump-diffusion model, and to derive inequalities for information theory measures. First,...
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| Format: | Theses and Dissertations |
| Language: | English |
| Published: |
2017
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| Online Access: | http://hdl.handle.net/10356/69531 |
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| Institution: | Nanyang Technological University |
| Language: | English |