Pages that link to "Item:Q3635097"

The following pages link to On the Relation Between Option and Stock Prices: A Convex Optimization Approach (Q3635097):

Displaying 50 items.

• Model-independent superhedging under portfolio constraints (Q261914) (← links)
• Generalized Gauss inequalities via semidefinite programming (Q263197) (← links)
• A stochastic semidefinite programming approach for bounds on option pricing under regime switching (Q285991) (← links)
• Distributionally robust mixed integer linear programs: persistency models with applications (Q296964) (← links)
• Model-independent bounds for option prices -- a mass transport approach (Q354188) (← links)
• Market price-based convex risk measures: a distribution-free optimization approach (Q435754) (← links)
• The truncated Stieltjes moment problem solved by using kernel density functions (Q442700) (← links)
• On reduced semidefinite programs for second order moment bounds with applications (Q507337) (← links)
• Estimation of risk-neutral density surfaces (Q645506) (← links)
• Bounding contingent claim prices via hedging strategy with coherent risk measures (Q662867) (← links)
• A cutting plane algorithm for semi-definite programming problems with applications to failure discriminant analysis (Q697556) (← links)
• Static-arbitrage optimal subreplicating strategies for basket options (Q817290) (← links)
• Moment bounds for truncated random variables (Q842962) (← links)
• Multihazard design: Structural optimization approach (Q848726) (← links)
• SDP relaxation of arbitrage pricing bounds based on option prices and moments (Q848736) (← links)
• Pricing European options by numerical replication: quadratic programming with constraints (Q853858) (← links)
• Exploiting equalities in polynomial programming (Q935230) (← links)
• Equilibrium pricing bounds on option prices (Q941015) (← links)
• Sharp distribution free lower bounds for spread options and the corresponding optimal subreplicating portfolios (Q1003813) (← links)
• Third-order extensions of Lo's semiparametric bound for European call options (Q1026788) (← links)
• Semiparametric bounds of mean and variance for exotic options (Q1042983) (← links)
• Option pricing and perfect hedging on correlated stocks (Q1414496) (← links)
• Distributionally robust equilibrium for continuous games: Nash and Stackelberg models (Q1681287) (← links)
• Distributionally robust expectation inequalities for structured distributions (Q1717228) (← links)
• A numerical study for robust active portfolio management with worst-case downside risk measure (Q1719373) (← links)
• Data-driven distributionally robust optimization using the Wasserstein metric: performance guarantees and tractable reformulations (Q1785197) (← links)
• Robust binary optimization using a safe tractable approximation (Q1785400) (← links)
• Computing arbitrage upper bounds on basket options in the presence of bid-ask spreads (Q1926944) (← links)
• On constrained smoothing and out-of-range prediction using \(P\)-splines: a conic optimization approach (Q2101966) (← links)
• Tight bounds for a class of data-driven distributionally robust risk measures (Q2115129) (← links)
• Distributionally robust optimization with polynomial densities: theory, models and algorithms (Q2189441) (← links)
• Global optimization of general nonconvex problems with intermediate polynomial substructures (Q2250104) (← links)
• Optimizing bounds on security prices in incomplete markets. Does stochastic volatility specification matter? (Q2253520) (← links)
• Random variables with moment-matching staircase density functions (Q2306998) (← links)
• Completely positive reformulations for polynomial optimization (Q2349130) (← links)
• Computing bounds on the expected payoff of Alternative Risk Transfer products (Q2445341) (← links)
• Coordinating the supply chain in the agricultural seed industry (Q2456431) (← links)
• Recovering risk-neutral probability density functions from options prices using cubic splines and ensuring nonnegativity (Q2463504) (← links)
• Static arbitrage bounds on basket option prices (Q2492673) (← links)
• Bounds on linear PDEs via semidefinite optimization (Q2494516) (← links)
• Persistence in discrete optimization under data uncertainty (Q2502201) (← links)
• On a Heath-Jarrow-Morton approach for stock options (Q2516770) (← links)
• A semidefinite optimization approach to the steady-state analysis of queueing systems (Q2641954) (← links)
• Duality in option pricing based on prices of other derivatives (Q2643789) (← links)
• Arbitrage-free approximation of call price surfaces and input data risk (Q2893075) (← links)
• Moving Least Squares for Arbitrage-Free Price and Volatility Surfaces (Q2920949) (← links)
• Technical Note—A Risk- and Ambiguity-Averse Extension of the Max-Min Newsvendor Order Formula (Q2935298) (← links)
• A moment approach to bounding exotic options under regime switching (Q3145039) (← links)
• TIGHT BOUNDS ON EXPECTED ORDER STATISTICS (Q3422741) (← links)
• General Lower Bounds for Arithmetic Asian Option Prices (Q3502206) (← links)