SPARSE CALIBRATIONS OF CONTINGENT CLAIMS

DOI10.1111/j.1467-9965.2009.00391.xzbMath1182.91178OpenAlexW2059131875MaRDI QIDQ5190053

Nabil Kahale

Publication date: 12 March 2010

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9965.2009.00391.x

zbMATH Keywords

calibrationarbitragebid-ask pricessuperhedging pricemultiperiod markets

Mathematics Subject Classification ID

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

Related Items (2)

Entropy Maximization in Finance ⋮ MODEL-INDEPENDENT LOWER BOUND ON VARIANCE SWAPS

Cites Work

• Static-arbitrage optimal subreplicating strategies for basket options
• Robust hedging of the lookback option
• Static arbitrage bounds on basket option prices
• Robust Hedging of Barrier Options
• Bounding Option Prices by Semidefinite Programming: A Cutting Plane Algorithm
• Static-arbitrage upper bounds for the prices of basket options
• THE RANGE OF TRADED OPTION PRICES
• On the Relation Between Option and Stock Prices: A Convex Optimization Approach
• Sharp Upper and Lower Bounds for Basket Options

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