Market price-based convex risk measures: a distribution-free optimization approach (Q435754): Difference between revisions

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+https://doi.org/10.1016/j.orl.2011.12.006
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+MODEL UNCERTAINTY AND ITS IMPACT ON THE PRICING OF DERIVATIVE INSTRUMENTS
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+Convex measures of risk and trading constraints
@@ Property / cites work: Convex measures of risk and trading constraints / rank @@
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+Handbook of semidefinite programming. Theory, algorithms, and applications
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+Measures of model uncertainty and calibrated option bounds
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+Lectures on Modern Convex Optimization
@@ Property / cites work: Lectures on Modern Convex Optimization / rank @@
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+Q2776650
@@ Property / cites work: Q2776650 / rank @@
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+On the Relation Between Option and Stock Prices: A Convex Optimization Approach
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+Bounding Option Prices by Semidefinite Programming: A Cutting Plane Algorithm
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+Publication:435754