Robust option pricing
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Publication:297417
DOI10.1016/J.EJOR.2014.06.002zbMATH Open1339.91112OpenAlexW2048028546WikidataQ88978970 ScholiaQ88978970MaRDI QIDQ297417FDOQ297417
Authors: Chaithanya Bandi, Dimitris Bertsimas 
Publication date: 27 June 2016
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.ejor.2014.06.002
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Cites Work
- The pricing of options and corporate liabilities
- Numerical calculation of stable densities and distribution functions
- An Intertemporal Capital Asset Pricing Model
- The Price of Robustness
- The Variance Gamma Process and Option Pricing
- Option pricing when underlying stock returns are discontinuous
- Robust linear optimization under general norms.
- Robust convex optimization
- Hedging Derivative Securities and Incomplete Markets: An ε-Arbitrage Approach
- Efficient analytic approximation of the optimal hedging strategy for a European call option with transaction costs
- MODELING STOCHASTIC VOLATILITY: A REVIEW AND COMPARATIVE STUDY
- European option pricing and hedging with both fixed and proportional transaction costs
Cited In (29)
- Robust Inventory Management: An Optimal Control Approach
- Robust strategic bidding in auction-based markets
- Robust pricing and hedging of double no-touch options
- Tractable stochastic analysis in high dimensions via robust optimization
- Recent advancements in robust optimization for investment management
- Robust option pricing: Hannan and Blackwell meet Black and Scholes
- Equal risk pricing and hedging of financial derivatives with convex risk measures
- Single-transform formulas for pricing Asian options in a general approximation framework under Markov processes
- Quantifying distributional model risk via optimal transport
- Optimal design for multi-item auctions: a robust optimization approach
- Risk analysis and decision theory: a bridge
- Robust pricing and hedging around the globe
- Pricing discretely-monitored double barrier options with small probabilities of execution
- Wavelet-based option pricing: an empirical study
- A Robust Control Framework for Option Pricing
- Robust queueing theory
- A practical finite difference method for the three-dimensional Black-Scholes equation
- Principal component analysis and optimal portfolio
- Option pricing and stochastic optimization
- Consensus of large-scale group decision making in social network: the minimum cost model based on robust optimization
- Wasserstein distributionally robust option pricing
- General multilevel Monte Carlo methods for pricing discretely monitored Asian options
- Stochastic optimization in supply chain networks: averaging robust solutions
- Online trading algorithms and robust option pricing
- Computational aspects of robust optimized certainty equivalents and option pricing
- Vector majorization and a robust option replacement trading strategy
- Robust One-Period Option Hedging
- VIX derivatives, hedging and vol-of-vol risk
- Robust pricing and hedging of options on multiple assets and its numerics
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