Equilibrium pricing bounds on option prices

DOI10.1007/s11579-008-0010-xzbMath1142.91512OpenAlexW3125315208MaRDI QIDQ941015

Elyès Jouini, Marie Chazal

Publication date: 4 September 2008

Published in: Mathematics and Financial Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11579-008-0010-x

zbMATH Keywords

option pricingequilibrium pricingconic dualitypricing bounds

Mathematics Subject Classification ID

Cites Work

• Unnamed Item
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• Bounding Option Prices by Semidefinite Programming: A Cutting Plane Algorithm
• Optimization Problems in the Theory of Continuous Trading
• On the Relation Between Option and Stock Prices: A Convex Optimization Approach
• On Stochastic Dominance and Decreasing Absolute Risk Averse Option Pricing Bounds
• Option pricing bounds with standard risk aversion preferences

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