Equilibrium pricing bounds on option prices (Q941015)

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Language	Label	Description	Also known as
English	Equilibrium pricing bounds on option prices	scientific article

Statements

scholarly article

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Equilibrium pricing bounds on option prices (English)

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Mathematics and Financial Economics

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publication date

4 September 2008

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zbMATH Keywords

option pricing

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pricing bounds

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equilibrium pricing

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conic duality

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1007/s11579-008-0010-x

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On the Relation Between Option and Stock Prices: A Convex Optimization Approach

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Option pricing bounds with standard risk aversion preferences

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Pricing of non-redundant derivatives in a complete market

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Stochastic dominance bounds on derivatives prices in a multiperiod economy with proportional transaction costs.

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Bounding Option Prices by Semidefinite Programming: A Cutting Plane Algorithm

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Convergence of the equilibrium prices in a family of financial models

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A class of models satisfying a dynamical version of the CAPM

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Optimization Problems in the Theory of Continuous Trading

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On Stochastic Dominance and Decreasing Absolute Risk Averse Option Pricing Bounds

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Identifiers

zbMATH Open document ID

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Mathematics Subject Classification ID

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zbMATH DE Number

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10.1007/S11579-008-0010-X

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Sitelinks

Mathematics(1 entry)

mardi Publication:941015

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