Sequential arbitrage measurements and interest rate envelopes
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Publication:1014010
DOI10.1007/s10957-008-9391-5zbMath1159.91385MaRDI QIDQ1014010
Publication date: 24 April 2009
Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/10016/14001
term structure of interest rates; portfolio optimization; embedded option premiums; sequential arbitrage measurements
91B26: Auctions, bargaining, bidding and selling, and other market models
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Cites Work
- Pricing a nontradeable asset and its derivatives.
- Arbitrage bounds for the term structure of interest rates
- The balance space approach in optimization with Riesz spaces valued objectives. An application to financial markets.
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