A new elementary geometric approach to option pricing bounds in discrete time models

DOI10.1016/J.EJOR.2015.08.024zbMATH Open1346.91226OpenAlexW1496813416MaRDI QIDQ320923FDOQ320923

Authors: Yann Braouezec, Cyril Grunspan 

Publication date: 7 October 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.2015.08.024

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zbMATH Keywords

financebarycentric coordinatesconvex hullsincomplete marketsoption pricing bounds

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• Arbitrage Theory in Continuous Time
• Mathematics of financial markets.
• A general construction of barycentric coordinates over convex polygons
• Finding the convex hull of a simple polygon
• Scenarios for multistage stochastic programs
• Assessing financial model risk
• Duality and martingales: a stochastic programming perspective on contingent claims
• No-arbitrage bounds for financial scenarios
• Expected gain-loss pricing and hedging of contingent claims in incomplete markets by linear programming
• On the no-arbitrage condition in option implied trees
• A course in derivative securities. Introduction to theory and computation.
• An approximate moving boundary method for American option pricing
• Pricing American contingent claims by stochastic linear programming
• COMPUTATIONAL GEOMETRY COLUMN 45
• The analysis of finite security markets using martingales
• Option pricing by mathematical programming†
• Construction of polygonal interpolants: a maximum entropy approach
• Calibrated American option pricing by stochastic linear programming
• Title not available (Why is that?)
• Mathematics for computer graphics
• Binomial models in finance.

Cited In (1)

• Valuing an investment project using no-arbitrage and the alpha-maxmin criteria: from Knightian uncertainty to risk

Uses Software

• DerivaGem

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