Market price-based convex risk measures: a distribution-free optimization approach

DOI10.1016/J.ORL.2011.12.006MaRDI QIDQ435754zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

semidefinite programmingmodel uncertaintysemi-infinite programmingderivative pricingconvex risk measures

Mathematics Subject Classification ID

Semidefinite programming (90C22) Semi-infinite programming (90C34)

Recommendations

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Cites work

• Bounding Option Prices by Semidefinite Programming: A Cutting Plane Algorithm
• Convex measures of risk and trading constraints
• Handbook of semidefinite programming. Theory, algorithms, and applications
• Lectures on modern convex optimization. Analysis, algorithms, and engineering applications
• MODEL UNCERTAINTY AND ITS IMPACT ON THE PRICING OF DERIVATIVE INSTRUMENTS
• Measures of model uncertainty and calibrated option bounds
• On duality theory of conic linear problems.
• On the Relation Between Option and Stock Prices: A Convex Optimization Approach

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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