SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Bounding Option Prices by Semidefinite Programming: A Cutting Plane Algorithm
14 references·0 citing·30 second hop
Bounding Option Prices by Semidefinite Programming: A Cutting Plane Algorithm (2002)Bounding Option Prices by Semidefinite Pr…“Options, Futures, and Other Derivatives” (2016)“Options, Futures, and Other …A Min-Max Solution of an Inventory Problem (2005)A Min-Max Solution of an Inve…Options, Futures and Other Derivatives (2003)Options, Futures and Other De…Decreasing Absolute Risk Aversion and Option Pricing Bounds (1997)Decreasing Absolute Risk Aver…Bounds on contingent claims based on several assets (1997)Bounds on contingent claims b…On Stochastic Dominance and Decreasing Absolute Risk Averse Option Pricing Bounds (1989)On Stochastic Dominance and D…Semi-parametric upper bounds for option prices and expected payoffs (1987)Semi-parametric upper bounds …Upper and Lower Bounds of Put and Call Option Value: Stochastic Dominance Approach (1985)Upper and Lower Bounds of Put…On Option Pricing Bounds (1985)On Option Pricing BoundsThe valuation of compound options (1979)The valuation of compound opt…Option pricing: A simplified approach (1979)Option pricing: A simplified …Option pricing when underlying stock returns are discontinuous (1976)Option pricing when underlyin…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…Studies in Mathematical Theory of Inventory and Production (1959)Studies in Mathematical Theor…Theory of Rational Option Pricing (1973)Determinants of corporate borrowing (1977)Option values under stochastic volatility: Theory and empirical estimates (1987)THE GARCH OPTION PRICING MODEL (1995)Arbitrage Theory in Continuous Time (2004)Option-Implied Risk-Neutral Distributions and Risk Aversion (2004)Theory of rational option pricing (2005)Option Valuation with Conditional Heteroskedasticity and Nonnormality (2009)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The Value of Waiting to Invest (1982)The Pricing of Options on Assets with Stochastic Volatilities (1987)An Engine, Not a Camera (2006)Facts and Fantasies about Commodity Futures (2006)Introductory Econometrics for Finance (2008)Arbitrage Theory in Continuous Time (1998)A critical review on supply chain risk – Definition, measure and modeling (2014)Martingales and stochastic integrals in the theory of continuous trading (1981)Evaluating Natural Resource Investments (1985)Irreversibility, Uncertainty, and Investment (1990)International momentum strategies: a stochastic dominance approach (2004)Mispricing of S&P 500 Index Options (2008)Lectures on Stochastic Programming: Modeling and Theory (2009)Distributionally Robust Optimization Under Moment Uncertainty with Application to Data-Driven Problems (2010)Distributionally Robust Convex Optimization (2014)Measuring and avoiding the bullwhip effect: A control theoretic approach (2003)
this work references cited by second hop

References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1979Option pricing: A simplified approach6,103 cited
  • 1976Option pricing when underlying stock returns are discontinuous5,965 cited
  • 2016“Options, Futures, and Other Derivatives”5,007 cited
  • 2003Options, Futures and Other Derivatives3,864 cited
  • 1979The valuation of compound options1,107 cited
  • 1959Studies in Mathematical Theory of Inventory and Production696 cited
  • 2005A Min-Max Solution of an Inventory Problem552 cited
  • 1985Upper and Lower Bounds of Put and Call Option Value: Stochastic Dominance Approach172 cited
  • 1985On Option Pricing Bounds162 cited
  • 1987Semi-parametric upper bounds for option prices and expected payoffs130 cited
  • 1997Bounds on contingent claims based on several assets65 cited
  • 1997Decreasing Absolute Risk Aversion and Option Pricing Bounds43 cited
  • 1989On Stochastic Dominance and Decreasing Absolute Risk Averse Option Pricing Bounds42 cited

Cited by

No citing works inside the corpus for this window.

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work