On the Relation Between Option and Stock Prices: A Convex Optimization Approach
From MaRDI portal
Publication:3635097
DOI10.1287/opre.50.2.358.424zbMath1163.91382OpenAlexW2152027968MaRDI QIDQ3635097
Ioana Popescu, Dimitris J. Bertsimas
Publication date: 3 July 2009
Published in: Operations Research (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/1721.1/2756
Related Items
A stochastic semidefinite programming approach for bounds on option pricing under regime switching ⋮ Arbitrage-free approximation of call price surfaces and input data risk ⋮ Distributionally robust mixed integer linear programs: persistency models with applications ⋮ Moment bounds for truncated random variables ⋮ Multihazard design: Structural optimization approach ⋮ SDP relaxation of arbitrage pricing bounds based on option prices and moments ⋮ Pricing European options by numerical replication: quadratic programming with constraints ⋮ A semidefinite optimization approach to the steady-state analysis of queueing systems ⋮ Duality in option pricing based on prices of other derivatives ⋮ Moving Least Squares for Arbitrage-Free Price and Volatility Surfaces ⋮ Option bounds ⋮ Model-independent bounds for option prices -- a mass transport approach ⋮ Technical Note—A Risk- and Ambiguity-Averse Extension of the Max-Min Newsvendor Order Formula ⋮ Computing arbitrage upper bounds on basket options in the presence of bid-ask spreads ⋮ Distributionally robust equilibrium for continuous games: Nash and Stackelberg models ⋮ Distributionally robust optimization with polynomial densities: theory, models and algorithms ⋮ General Lower Bounds for Arithmetic Asian Option Prices ⋮ Technical Note—On Matrix Exponential Differentiation with Application to Weighted Sum Distributions ⋮ Market price-based convex risk measures: a distribution-free optimization approach ⋮ The truncated Stieltjes moment problem solved by using kernel density functions ⋮ Application of direct extended modified algebraic method of Bogoyavlenskii equation on lower and upper bounds in managing and optimizing queues ⋮ Estimation of risk-neutral density surfaces ⋮ Distributionally Robust Optimization with Infinitely Constrained Ambiguity Sets ⋮ Moment Problem and Its Applications to Risk Assessment ⋮ Distributionally robust expectation inequalities for structured distributions ⋮ Computing bounds on the expected payoff of Alternative Risk Transfer products ⋮ A numerical study for robust active portfolio management with worst-case downside risk measure ⋮ DSOS and SDSOS Optimization: More Tractable Alternatives to Sum of Squares and Semidefinite Optimization ⋮ Bounding contingent claim prices via hedging strategy with coherent risk measures ⋮ Coordinating the supply chain in the agricultural seed industry ⋮ Sharp Upper and Lower Bounds for Basket Options ⋮ Exploiting equalities in polynomial programming ⋮ Equilibrium pricing bounds on option prices ⋮ Recovering risk-neutral probability density functions from options prices using cubic splines and ensuring nonnegativity ⋮ On reduced semidefinite programs for second order moment bounds with applications ⋮ COMPUTING BOUNDS ON RISK-NEUTRAL DISTRIBUTIONS FROM THE OBSERVED PRICES OF CALL OPTIONS ⋮ Global optimization of general nonconvex problems with intermediate polynomial substructures ⋮ Optimizing bounds on security prices in incomplete markets. Does stochastic volatility specification matter? ⋮ Distributionally Robust Reward-Risk Ratio Optimization with Moment Constraints ⋮ A cutting plane algorithm for semi-definite programming problems with applications to failure discriminant analysis ⋮ Static arbitrage bounds on basket option prices ⋮ Bounds on linear PDEs via semidefinite optimization ⋮ Gain-loss pricing under ambiguity of measure ⋮ SPARSE CALIBRATIONS OF CONTINGENT CLAIMS ⋮ Persistence in discrete optimization under data uncertainty ⋮ Data-driven distributionally robust optimization using the Wasserstein metric: performance guarantees and tractable reformulations ⋮ Robust binary optimization using a safe tractable approximation ⋮ PRICING A CLASS OF EXOTIC OPTIONS VIA MOMENTS AND SDP RELAXATIONS ⋮ Sharp distribution free lower bounds for spread options and the corresponding optimal subreplicating portfolios ⋮ Random variables with moment-matching staircase density functions ⋮ Third-order extensions of Lo's semiparametric bound for European call options ⋮ Semiparametric bounds of mean and variance for exotic options ⋮ General closed-form basket option pricing bounds ⋮ TIGHT BOUNDS ON EXPECTED ORDER STATISTICS ⋮ On constrained smoothing and out-of-range prediction using \(P\)-splines: a conic optimization approach ⋮ Completely positive reformulations for polynomial optimization ⋮ A moment approach to bounding exotic options under regime switching ⋮ Tight bounds for a class of data-driven distributionally robust risk measures ⋮ Model-independent superhedging under portfolio constraints ⋮ Static-arbitrage optimal subreplicating strategies for basket options ⋮ Generalized Gauss inequalities via semidefinite programming
Uses Software
