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ArticleRobust option pricing

Chaithanya Bandi2014

Article2014

Robust option pricing

Chaithanya Bandi · Dimitris Bertsimas

49 citations·0/0 files stored·European Journal of Operational Research

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Risk and Portfolio Optimization Stochastic processes and financial applications Capital Investment and Risk Analysis

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References

1973The Pricing of Options and Corporate Liabilities 1973An Intertemporal Capital Asset Pricing Model 1971Optimum consumption and portfolio rules in a continuous-time model 1976Option pricing when underlying stock returns are discontinuous 2004The Price of Robustness 1987The Pricing of Options on Assets with Stochastic Volatilities 1976The valuation of options for alternative stochastic processes 1998Robust Convex Optimization

Cited by

2018Robust strategic bidding in auction-based markets 2020A novel two-phase robust portfolio selection and optimization approach under uncertainty: A case study of Tehran stock exchange 2017Recent advancements in robust optimization for investment management 2015A practical finite difference method for the three-dimensional Black–Scholes equation 2018Wavelet-based option pricing: An empirical study 2017Robust Inventory Management: An Optimal Control Approach

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2001Hedging Derivative Securities and Incomplete Markets: An ε-Arbitrage Approacharticle · 7 shared references 2018Risk-Neutral Densities: A Reviewreview · 7 shared references 2010Purely Discontinuous Asset Price Processeschapter · 7 shared references 2015On robust pricing-hedging duality in continuous timepreprint · 7 shared references 1987Option values under stochastic volatility: Theory and empirical estimatesarticle · 6 shared references 2000Pricing and hedging long-term optionsarticle · 6 shared references

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Year2014

Typearticle

Published2014-07-03

VenueEuropean Journal of Operational Research

ISSN-L0377-2217

Languageen

Citations49

Files0 public / 0

ShelfRisk and Portfolio Optimization

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doi10.1016/j.ejor.2014.06.002

openalex_workW2048028546

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