Duality in option pricing based on prices of other derivatives

DOI10.1016/J.ORL.2006.03.007zbMATH Open1303.91182OpenAlexW2059502425MaRDI QIDQ2643789FDOQ2643789

Authors: Michi Nishihara, Toshihide Ibaraki, Mutsunori Yagiura 

Publication date: 27 August 2007

Published in: Operations Research Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.orl.2006.03.007

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zbMATH Keywords

option pricingdualityhedgingsemi-infinite programming

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Optimality conditions and duality in mathematical programming (90C46) Semi-infinite programming (90C34)

Cites Work

• The pricing of options and corporate liabilities
• Arbitrage Theory in Continuous Time
• Title not available (Why is that?)
• On duality theory of conic linear problems.
• On the Relation Between Option and Stock Prices: A Convex Optimization Approach
• Title not available (Why is that?)

Cited In (3)

• COMPUTING BOUNDS ON RISK-NEUTRAL DISTRIBUTIONS FROM THE OBSERVED PRICES OF CALL OPTIONS
• A weak approximation of stochastic differential equations with jumps through tempered polynomial optimization
• On the duality principle in option pricing: semimartingale setting

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