Market price-based convex risk measures: a distribution-free optimization approach

DOI10.1016/J.ORL.2011.12.006zbMath1252.90084OpenAlexW2044017462MaRDI QIDQ435754

Roy H. Kwon, Jonathan Y. Li

Publication date: 12 July 2012

Published in: Operations Research Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.orl.2011.12.006

zbMATH Keywords

semidefinite programmingsemi-infinite programmingmodel uncertaintyderivative pricingconvex risk measures

Mathematics Subject Classification ID

Semidefinite programming (90C22) Semi-infinite programming (90C34)

Related Items (1)

Ambiguity in risk preferences in robust stochastic optimization

Cites Work

• Unnamed Item
• Convex measures of risk and trading constraints
• Lectures on Modern Convex Optimization
• Bounding Option Prices by Semidefinite Programming: A Cutting Plane Algorithm
• Measures of model uncertainty and calibrated option bounds
• On the Relation Between Option and Stock Prices: A Convex Optimization Approach
• MODEL UNCERTAINTY AND ITS IMPACT ON THE PRICING OF DERIVATIVE INSTRUMENTS
• Handbook of semidefinite programming. Theory, algorithms, and applications

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