Robust option pricing

DOI10.1016/j.ejor.2014.06.002zbMath1339.91112OpenAlexW2048028546WikidataQ88978970 ScholiaQ88978970MaRDI QIDQ297417

Chaithanya Bandi, Dimitris J. Bertsimas

Publication date: 27 June 2016

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2014.06.002

zbMATH Keywords

option pricingrobust optimizationvolatility smileAmerican option

Mathematics Subject Classification ID

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

Related Items (17)

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Uses Software

• STABLE

Cites Work

• The Pricing of Options and Corporate Liabilities
• Robust linear optimization under general norms.
• European option pricing and hedging with both fixed and proportional transaction costs
• Robust Convex Optimization
• Efficient analytic approximation of the optimal hedging strategy for a European call option with transaction costs
• Hedging Derivative Securities and Incomplete Markets: An ε-Arbitrage Approach
• The Price of Robustness
• Numerical calculation of stable densities and distribution functions
• MODELING STOCHASTIC VOLATILITY: A REVIEW AND COMPARATIVE STUDY
• An Intertemporal Capital Asset Pricing Model
• The Variance Gamma Process and Option Pricing
• Option pricing when underlying stock returns are discontinuous

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