Robust static super-replication of barrier options

DOI10.1515/9783110208511zbMath1196.91007OpenAlexW99531113MaRDI QIDQ2272291

Jan H. Maruhn

Publication date: 11 August 2009

Published in: Radon Series on Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/9783110208511

zbMATH Keywords

semidefinite programmingstochastic volatilityrobust optimizationsemi-infinite optimizationstatic hedgingbarrier options

Mathematics Subject Classification ID

Nonlinear programming (90C30) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Microeconomic theory (price theory and economic markets) (91B24) Semi-infinite programming (90C34) Derivative securities (option pricing, hedging, etc.) (91G20) Research exposition (monographs, survey articles) pertaining to calculus of variations and optimal control (49-02)

Related Items (4)

Recent contributions to linear semi-infinite optimization ⋮ Comments on: Stability in linear optimization and related topics. A personal tour ⋮ Recent contributions to linear semi-infinite optimization: an update ⋮ Robust pricing and hedging of double no-touch options

Uses Software

• SeDuMi
• SDPT3
• PLCP

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