Sharpe-ratio pricing and hedging of contingent claims in incomplete markets by convex programming
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Publication:2440802
DOI10.1016/J.AUTOMATICA.2007.11.006zbMATH Open1283.91182OpenAlexW1988847221MaRDI QIDQ2440802FDOQ2440802
Publication date: 19 March 2014
Published in: Automatica (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/11693/11636
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Convex programming (90C25) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic systems in control theory (general) (93E03)
Cites Work
- Matrix Analysis
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- Generalised Sharpe Ratios and Asset Pricing in Incomplete Markets *
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- An Active Set Method for Single-Cone Second-Order Cone Programs
- A practical implementation of stochastic programming: an application to the evaluation of option contracts in supply chains
- CALIBRATED OPTION BOUNDS
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Cited In (7)
- A convex duality approach for pricing contingent claims under partial information and short selling constraints
- Fuzzy credible degree pricing method for contingent claim in finite security market with linear programming
- Generalised Sharpe Ratios and Asset Pricing in Incomplete Markets *
- Mixed-integer second-order cone programming for lower hedging of American contingent claims in incomplete markets
- Expected gain-loss pricing and hedging of contingent claims in incomplete markets by linear programming
- Nonconvex optimization for pricing and hedging in imperfect markets
- Optimizing bounds on security prices in incomplete markets. Does stochastic volatility specification matter?
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