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On the Relation Between Option and Stock Prices: A Convex Optimization Approach

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Cited by:

  1. Laurence, Peter & Wang, Tai-Ho, 2009. "Sharp distribution free lower bounds for spread options and the corresponding optimal subreplicating portfolios," Insurance: Mathematics and Economics, Elsevier, vol. 44(1), pages 35-47, February.
  2. Zhi Chen & Melvyn Sim & Huan Xu, 2019. "Distributionally Robust Optimization with Infinitely Constrained Ambiguity Sets," Operations Research, INFORMS, vol. 67(5), pages 1328-1344, September.
  3. Georgia Perakis & Guillaume Roels, 2008. "Regret in the Newsvendor Model with Partial Information," Operations Research, INFORMS, vol. 56(1), pages 188-203, February.
  4. Tsiaras, Leonidas, 2009. "The Forecast Performance of Competing Implied Volatility Measures: The Case of Individual Stocks," Finance Research Group Working Papers F-2009-02, University of Aarhus, Aarhus School of Business, Department of Business Studies.
  5. Navarro-García, Manuel & Guerrero, Vanesa & Durban, María, 2023. "On constrained smoothing and out-of-range prediction using P-splines: A conic optimization approach," Applied Mathematics and Computation, Elsevier, vol. 441(C).
  6. Shane Barratt & Jonathan Tuck & Stephen Boyd, 2020. "Convex Optimization Over Risk-Neutral Probabilities," Papers 2003.02878, arXiv.org.
  7. Simai He & Jiawei Zhang & Shuzhong Zhang, 2010. "Bounding Probability of Small Deviation: A Fourth Moment Approach," Mathematics of Operations Research, INFORMS, vol. 35(1), pages 208-232, February.
  8. Carlo Marinelli, 2023. "On some semi-parametric estimates for European option prices," Papers 2306.10929, arXiv.org.
  9. Villegas, Andrés M. & Medaglia, Andrés L. & Zuluaga, Luis F., 2012. "Computing bounds on the expected payoff of Alternative Risk Transfer products," Insurance: Mathematics and Economics, Elsevier, vol. 51(2), pages 271-281.
  10. Alexandre d'Aspremont & Laurent El Ghaoui, 2003. "Static Arbitrage Bounds on Basket Option Prices," Papers math/0302243, arXiv.org, revised Oct 2005.
  11. Hobson, David & Laurence, Peter & Wang, Tai-Ho, 2005. "Static-arbitrage optimal subreplicating strategies for basket options," Insurance: Mathematics and Economics, Elsevier, vol. 37(3), pages 553-572, December.
  12. Roy H. Kwon & Jonathan Y. Li, 2016. "A stochastic semidefinite programming approach for bounds on option pricing under regime switching," Annals of Operations Research, Springer, vol. 237(1), pages 41-75, February.
  13. Zhong, Yuanguang & Liu, Ju & Zhou, Yong-Wu & Cao, Bin & Zheng, Xueliang, 2023. "The Role of Ambiguity Aversion in Contract-farming Supply Chains: A Distributionally Robust Approach," Omega, Elsevier, vol. 117(C).
  14. Mathias Beiglbock & Pierre Henry-Labord`ere & Friedrich Penkner, 2011. "Model-independent Bounds for Option Prices: A Mass Transport Approach," Papers 1106.5929, arXiv.org, revised Feb 2013.
  15. Arash Fahim & Yu-Jui Huang, 2014. "Model-independent Superhedging under Portfolio Constraints," Papers 1402.2599, arXiv.org, revised Jun 2015.
  16. Didier Henrion & Felix Kirschner & Etienne De Klerk & Milan Korda & Jean-Bernard Lasserre & Victor Magron, 2023. "Revisiting Semidefinite Programming Approaches to Options Pricing: Complexity and Computational Perspectives," INFORMS Journal on Computing, INFORMS, vol. 35(2), pages 335-349, March.
  17. Nabil Kahalé, 2017. "Superreplication of Financial Derivatives via Convex Programming," Management Science, INFORMS, vol. 63(7), pages 2323-2339, July.
  18. Liu, Yongchao & Xu, Huifu & Yang, Shu-Jung Sunny & Zhang, Jin, 2018. "Distributionally robust equilibrium for continuous games: Nash and Stackelberg models," European Journal of Operational Research, Elsevier, vol. 265(2), pages 631-643.
  19. Ariel Neufeld & Antonis Papapantoleon & Qikun Xiang, 2023. "Model-Free Bounds for Multi-Asset Options Using Option-Implied Information and Their Exact Computation," Management Science, INFORMS, vol. 69(4), pages 2051-2068, April.
  20. Li, Xiaobo & Natarajan, Karthik & Teo, Chung-Piaw & Zheng, Zhichao, 2014. "Distributionally robust mixed integer linear programs: Persistency models with applications," European Journal of Operational Research, Elsevier, vol. 233(3), pages 459-473.
  21. anonymous, 2006. "The MSOM Society Student Paper Competition: Extended Abstracts of 2005 Winners," Manufacturing & Service Operations Management, INFORMS, vol. 8(1), pages 98-117.
  22. van Eekelen, Wouter, 2023. "Distributionally robust views on queues and related stochastic models," Other publications TiSEM 9b99fc05-9d68-48eb-ae8c-9, Tilburg University, School of Economics and Management.
  23. Mathias Beiglböck & Pierre Henry-Labordère & Friedrich Penkner, 2013. "Model-independent bounds for option prices—a mass transport approach," Finance and Stochastics, Springer, vol. 17(3), pages 477-501, July.
  24. Burer, Samuel & Jones, Philip C. & Lowe, Timothy J., 2008. "Coordinating the supply chain in the agricultural seed industry," European Journal of Operational Research, Elsevier, vol. 185(1), pages 354-377, February.
  25. Liu, Guoqing & Li, Wenbo V., 2009. "Moment bounds for truncated random variables," Statistics & Probability Letters, Elsevier, vol. 79(18), pages 1951-1956, September.
  26. Jarno Talponen, 2013. "Matching distributions: Asset pricing with density shape correction," Papers 1312.4227, arXiv.org, revised Mar 2018.
  27. José L. Vilar-Zanón & Barbara Rogo, 2024. "Pricing and Hedging Contingent Claims by Entropy Segmentation and Fenchel Duality," Methodology and Computing in Applied Probability, Springer, vol. 26(4), pages 1-20, December.
  28. Ruggero Caldana & Gianluca Fusai & Alessandro Gnoatto & Martino Grasselli, 2016. "General closed-form basket option pricing bounds," Quantitative Finance, Taylor & Francis Journals, vol. 16(4), pages 535-554, April.
  29. Li Chen & Simai He & Shuzhong Zhang, 2011. "Tight Bounds for Some Risk Measures, with Applications to Robust Portfolio Selection," Operations Research, INFORMS, vol. 59(4), pages 847-865, August.
  30. H. Albrecher & P. A. Mayer & W. Schoutens, 2008. "General Lower Bounds for Arithmetic Asian Option Prices," Applied Mathematical Finance, Taylor & Francis Journals, vol. 15(2), pages 123-149.
  31. Arash Fahim & Yu-Jui Huang, 2016. "Model-independent superhedging under portfolio constraints," Finance and Stochastics, Springer, vol. 20(1), pages 51-81, January.
  32. Luis F. Zuluaga & Javier F. Peña, 2005. "A Conic Programming Approach to Generalized Tchebycheff Inequalities," Mathematics of Operations Research, INFORMS, vol. 30(2), pages 369-388, May.
  33. Judith Glaser & Pascal Heider, 2012. "Arbitrage-free approximation of call price surfaces and input data risk," Quantitative Finance, Taylor & Francis Journals, vol. 12(1), pages 61-73, August.
  34. Qiaoming Han & Donglei Du & Luis F. Zuluaga, 2014. "Technical Note---A Risk- and Ambiguity-Averse Extension of the Max-Min Newsvendor Order Formula," Operations Research, INFORMS, vol. 62(3), pages 535-542, June.
  35. Zuluaga, Luis F. & Peña, Javier & Du, Donglei, 2009. "Third-order extensions of Lo's semiparametric bound for European call options," European Journal of Operational Research, Elsevier, vol. 198(2), pages 557-570, October.
  36. Jun-ya Gotoh & Yoshitsugu Yamamoto & Weifeng Yao, 2011. "Bounding Contingent Claim Prices via Hedging Strategy with Coherent Risk Measures," Journal of Optimization Theory and Applications, Springer, vol. 151(3), pages 613-632, December.
  37. Karthik Natarajan & Melvyn Sim & Joline Uichanco, 2018. "Asymmetry and Ambiguity in Newsvendor Models," Management Science, INFORMS, vol. 64(7), pages 3146-3167, July.
  38. J. A. Primbs, 2010. "SDP Relaxation of Arbitrage Pricing Bounds Based on Option Prices and Moments," Journal of Optimization Theory and Applications, Springer, vol. 144(1), pages 137-155, January.
  39. Arash Fahim & Yu-Jui Huang, 2016. "Model-independent superhedging under portfolio constraints," Finance and Stochastics, Springer, vol. 20(1), pages 51-81, January.
  40. Yuriy Zinchenko & Alexandru V. Asimit, 2023. "Modeling Risk for CVaR-Based Decisions in Risk Aggregation," JRFM, MDPI, vol. 16(5), pages 1-22, May.
  41. Derek Singh & Shuzhong Zhang, 2020. "Tight Bounds for a Class of Data-Driven Distributionally Robust Risk Measures," Papers 2010.05398, arXiv.org, revised Oct 2020.
  42. Keith Zorn & Nikolaos Sahinidis, 2014. "Global optimization of general nonconvex problems with intermediate polynomial substructures," Journal of Global Optimization, Springer, vol. 59(2), pages 673-693, July.
  43. Peña, Javier & Vera, Juan C. & Zuluaga, Luis F., 2012. "Computing arbitrage upper bounds on basket options in the presence of bid–ask spreads," European Journal of Operational Research, Elsevier, vol. 222(2), pages 369-376.
  44. Adrian Gepp & Geoff Harris & Bruce Vanstone, 2020. "Financial applications of semidefinite programming: a review and call for interdisciplinary research," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 60(4), pages 3527-3555, December.
  45. F. A. Potra & E. Simiu, 2010. "Multihazard Design: Structural Optimization Approach," Journal of Optimization Theory and Applications, Springer, vol. 144(1), pages 120-136, January.
  46. Roy Kwon & Jonathan Li, 2016. "A stochastic semidefinite programming approach for bounds on option pricing under regime switching," Annals of Operations Research, Springer, vol. 237(1), pages 41-75, February.
  47. Marroquı´n-Martı´nez, Naroa & Moreno, Manuel, 2013. "Optimizing bounds on security prices in incomplete markets. Does stochastic volatility specification matter?," European Journal of Operational Research, Elsevier, vol. 225(3), pages 429-442.
  48. Dimitris Bertsimas & Aurélie Thiele, 2006. "A Robust Optimization Approach to Inventory Theory," Operations Research, INFORMS, vol. 54(1), pages 150-168, February.
  49. Chuen-Teck See & Melvyn Sim, 2010. "Robust Approximation to Multiperiod Inventory Management," Operations Research, INFORMS, vol. 58(3), pages 583-594, June.
  50. Evangelia Dragazi & Shuaiqiang Liu & Antonis Papapantoleon, 2024. "Improved model-free bounds for multi-asset options using option-implied information and deep learning," Papers 2404.02343, arXiv.org.
  51. Jun Cai & Zhanyi Jiao & Tiantian Mao, 2024. "Worst-case values of target semi-variances with applications to robust portfolio selection," Papers 2410.01732, arXiv.org, revised Oct 2024.
  52. Amir Memartoluie & David Saunders & Tony Wirjanto, 2015. "Wrong-Way Bounds in Counterparty Credit Risk Management," Papers 1505.02292, arXiv.org.
  53. repec:dau:papers:123456789/30 is not listed on IDEAS
  54. Ioana Popescu, 2005. "A Semidefinite Programming Approach to Optimal-Moment Bounds for Convex Classes of Distributions," Mathematics of Operations Research, INFORMS, vol. 30(3), pages 632-657, August.
  55. Hansjörg Albrecher & Philipp Mayer, 2010. "Semi-Static Hedging Strategies For Exotic Options," World Scientific Book Chapters, in: Rüdiger Kiesel & Matthias Scherer & Rudi Zagst (ed.), Alternative Investments And Strategies, chapter 14, pages 345-373, World Scientific Publishing Co. Pte. Ltd..
  56. Kirschner, Felix, 2023. "Conic optimization with applications in finance and approximation theory," Other publications TiSEM e9bef4a5-ee46-45be-90d7-9, Tilburg University, School of Economics and Management.
  57. Peter Laurence & Tai-Ho Wang, 2008. "Distribution-free upper bounds for spread options and market-implied antimonotonicity gap," The European Journal of Finance, Taylor & Francis Journals, vol. 14(8), pages 717-734.
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