Vector majorization and a robust option replacement trading strategy

DOI10.1007/s11228-008-0079-7zbMath1151.91554OpenAlexW2125534264MaRDI QIDQ931422

Qiji J. Zhu

Publication date: 25 June 2008

Published in: Set-Valued Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11228-008-0079-7

zbMATH Keywords

stabilityconvex optimizationmajorizationrobust option trading strategy

Mathematics Subject Classification ID

Applications of mathematical programming (90C90) Convex functions and convex programs in convex geometry (52A41) Portfolio theory (91G10)

Related Items (1)

Convex analysis in financial mathematics

Cites Work

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• MODEL UNCERTAINTY AND ITS IMPACT ON THE PRICING OF DERIVATIVE INSTRUMENTS
• Option pricing: A simplified approach
• Optimal Investments for Robust Utility Functionals in Complete Market Models
• Optimal investment in derivative securities

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