Sharpe-ratio pricing and hedging of contingent claims in incomplete markets by convex programming

DOI10.1016/J.AUTOMATICA.2007.11.006MaRDI QIDQ2440802zbMATH OpenOpenAlexFDO

Authors Mustafa Ç. Pınar

Publication date 19 March 2014

Published in Automatica (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/11693/11636

zbMATH Keywords

martingalesSharpe ratioconvex programmingpricingtransaction costshedgingcontingent claim

Mathematics Subject Classification ID

Convex programming (90C25) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic systems in control theory (general) (93E03)

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Cites work

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• Fundamental Theorems of Asset Pricing for Good Deal Bounds
• Generalised Sharpe Ratios and Asset Pricing in Incomplete Markets *
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• Martingales and arbitrage in multiperiod securities markets
• Matrix Analysis
• There is no nontrivial hedging portfolio for option pricing with transaction costs

Cited in

(9)

• Generalised Sharpe Ratios and Asset Pricing in Incomplete Markets *
• Bounding contingent claim prices via hedging strategy with coherent risk measures
• Fuzzy credible degree pricing method for contingent claim in finite security market with linear programming
• Optimizing bounds on security prices in incomplete markets. Does stochastic volatility specification matter?
• Pricing and hedging contingent claims by entropy segmentation and Fenchel duality
• Nonconvex optimization for pricing and hedging in imperfect markets
• A convex duality approach for pricing contingent claims under partial information and short selling constraints
• Expected gain-loss pricing and hedging of contingent claims in incomplete markets by linear programming
• Mixed-integer second-order cone programming for lower hedging of American contingent claims in incomplete markets

Describes a project that uses

Uses Software

• Mosek
• GAMS

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