Market price-based convex risk measures: a distribution-free optimization approach
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Publication:435754
DOI10.1016/J.ORL.2011.12.006zbMATH Open1252.90084OpenAlexW2044017462MaRDI QIDQ435754FDOQ435754
Authors: Jonathan Y. Li, Roy H. Kwon 
Publication date: 12 July 2012
Published in: Operations Research Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.orl.2011.12.006
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semidefinite programmingmodel uncertaintysemi-infinite programmingderivative pricingconvex risk measures
Cites Work
- Lectures on modern convex optimization. Analysis, algorithms, and engineering applications
- Convex measures of risk and trading constraints
- On duality theory of conic linear problems.
- On the Relation Between Option and Stock Prices: A Convex Optimization Approach
- MODEL UNCERTAINTY AND ITS IMPACT ON THE PRICING OF DERIVATIVE INSTRUMENTS
- Handbook of semidefinite programming. Theory, algorithms, and applications
- Bounding Option Prices by Semidefinite Programming: A Cutting Plane Algorithm
- Measures of model uncertainty and calibrated option bounds
Cited In (5)
- On the price of risk in a mean-risk optimization model
- Equal risk pricing and hedging of financial derivatives with convex risk measures
- Capturing parameter risk with convex risk measures
- Ambiguity in risk preferences in robust stochastic optimization
- Nonconvex optimization for pricing and hedging in imperfect markets
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