COMPUTING BOUNDS ON RISK-NEUTRAL DISTRIBUTIONS FROM THE OBSERVED PRICES OF CALL OPTIONS (Q3566767)
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scientific article; zbMATH DE number 5719298
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| English | COMPUTING BOUNDS ON RISK-NEUTRAL DISTRIBUTIONS FROM THE OBSERVED PRICES OF CALL OPTIONS |
scientific article; zbMATH DE number 5719298 |
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COMPUTING BOUNDS ON RISK-NEUTRAL DISTRIBUTIONS FROM THE OBSERVED PRICES OF CALL OPTIONS (English)
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10 June 2010
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option-implied risk-neutral distribution
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linear semi-infinite programming
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static hedging
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0.9160718
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0.89567816
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0.87303954
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0.8726225
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0.87171364
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0.8715779
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0.86877406
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