Robust option pricing
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Publication:297417
DOI10.1016/j.ejor.2014.06.002zbMath1339.91112OpenAlexW2048028546WikidataQ88978970 ScholiaQ88978970MaRDI QIDQ297417
Chaithanya Bandi, Dimitris J. 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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Uses Software
Cites Work
- The Pricing of Options and Corporate Liabilities
- Robust linear optimization under general norms.
- European option pricing and hedging with both fixed and proportional transaction costs
- Robust Convex Optimization
- Efficient analytic approximation of the optimal hedging strategy for a European call option with transaction costs
- Hedging Derivative Securities and Incomplete Markets: An ε-Arbitrage Approach
- The Price of Robustness
- Numerical calculation of stable densities and distribution functions
- MODELING STOCHASTIC VOLATILITY: A REVIEW AND COMPARATIVE STUDY
- An Intertemporal Capital Asset Pricing Model
- The Variance Gamma Process and Option Pricing
- Option pricing when underlying stock returns are discontinuous
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