COMPUTING BOUNDS ON RISK-NEUTRAL DISTRIBUTIONS FROM THE OBSERVED PRICES OF CALL OPTIONS
Year of publication: |
2010
|
---|---|
Authors: | NISHIHARA, MICHI ; YAGIURA, MUTSUNORI ; IBARAKI, TOSHIHIDE |
Published in: |
Asia-Pacific Journal of Operational Research (APJOR). - World Scientific Publishing Co. Pte. Ltd., ISSN 1793-7019. - Vol. 27.2010, 02, p. 211-225
|
Publisher: |
World Scientific Publishing Co. Pte. Ltd. |
Subject: | Option-implied risk-neutral distribution | linear semi-infinite programming | static hedging |
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