CALIBRATED OPTION BOUNDS

DOI10.1142/S0219024905002925zbMath1100.91045MaRDI QIDQ4675929

Matti Koivu, Teemu Pennanen, Alan J. King

Publication date: 6 May 2005

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

convex optimizationcalibrationpricingOptions

Mathematics Subject Classification ID

Related Items (12)

Pricing and hedging GDP-linked bonds in incomplete markets ⋮ Mixed-integer second-order cone programming for lower hedging of American contingent claims in incomplete markets ⋮ Sharpe-ratio pricing and hedging of contingent claims in incomplete markets by convex programming ⋮ Evaluation of insurance products with guarantee in incomplete markets ⋮ Buyer's quantile hedge portfolios in discrete-time trading ⋮ Incorporating statistical model error into the calculation of acceptability prices of contingent claims ⋮ On optimal partial hedging in discrete markets ⋮ Calibrated American option pricing by stochastic linear programming ⋮ PRICING INDEX OPTIONS BY STATIC HEDGING UNDER FINITE LIQUIDITY ⋮ Measures of model uncertainty and calibrated option bounds ⋮ Multistage portfolio optimization with stocks and options ⋮ No-arbitrage bounds for financial scenarios

Cites Work

• Martingales and stochastic integrals in the theory of continuous trading
• Duality and martingales: a stochastic programming perspective on contingent claims
• State-of-the-Art-Survey—Stochastic Programming: Computation and Applications
• Probability Distributions of Assets Inferred from Option Prices via the Principle of Maximum Entropy
• Managing the volatility risk of portfolios of derivative securities: the Lagrangian uncertain volatility model
• Hedging under Transaction Costs in Currency Markets: a Discrete-Time Model
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