Duality in option pricing based on prices of other derivatives

DOI10.1016/J.ORL.2006.03.007MaRDI QIDQ2643789zbMATHOpenAlexFDO

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

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)

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Cites work

• scientific article; zbMATH DE number 6137478 (Why is no real title available?)
• scientific article; zbMATH DE number 2190117 (Why is no real title available?)
• Arbitrage Theory in Continuous Time
• On duality theory of conic linear problems.
• On the Relation Between Option and Stock Prices: A Convex Optimization Approach
• The pricing of options and corporate liabilities

Cited in

(3)

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

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