Sharpe-ratio pricing and hedging of contingent claims in incomplete markets by convex programming

DOI10.1016/j.automatica.2007.11.006zbMath1283.91182OpenAlexW1988847221MaRDI QIDQ2440802

Mustafa Çelebi Pinar

Publication date: 19 March 2014

Published in: Automatica (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/11693/11636

zbMATH Keywords

martingaleshedgingconvex programmingtransaction costspricingSharpe ratiocontingent claim

Mathematics Subject Classification ID

Convex programming (90C25) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic systems in control theory (general) (93E03)

Related Items (2)

Mixed-integer second-order cone programming for lower hedging of American contingent claims in incomplete markets ⋮ Optimizing bounds on security prices in incomplete markets. Does stochastic volatility specification matter?

Uses Software

• Mosek
• GAMS

Cites Work

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