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Robust option pricing : Hannan and Blackwell meet Black and Scholes
DeMarzo, Peter M.; Kremer, Ilan; Mansour, Yishay - In: Journal of economic theory 163 (2016), pp. 410-434
Persistent link: https://www.econbiz.de/10011593386
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An efficient algorithm for options under Merton’s jump-diffusion model on nonuniform grids
Chen, Yingzi; Wang, Wansheng; Xiao, Aiguo - In: Computational economics 53 (2019) 4, pp. 1565-1591
Persistent link: https://www.econbiz.de/10012135577
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Deep stochastic optimization in finance
Reppen, A. Max; Soner, Halil Mete; Tissot-Daguette, Valentin - In: Digital finance : smart data analytics, investment … 5 (2023) 1, pp. 91-111
Persistent link: https://www.econbiz.de/10014251569
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Dynamic options hedging model under mark-to-market risk
Shi, Dongwei; Li, Yanyin; Yu, Xing - In: International journal of information technology and … 23 (2024) 2, pp. 137-155
Persistent link: https://www.econbiz.de/10015064850
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Robust price bounds for the forward starting straddle
Hobson, David G.; Klimmek, Martin - In: Finance and stochastics 19 (2015) 1, pp. 189-214
Persistent link: https://www.econbiz.de/10011417160
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Pricing American put options by fast solutions of the linear complementarity problem
Borici, Artan; Lüthi, Hans-Jakob - In: Computational methods in decision-making, economics and …, (pp. 325-338). 2010
Persistent link: https://www.econbiz.de/10009153077
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Robust bounds for the American put
Hobson, David G.; Norgilas, Dominykas - In: Finance and stochastics 23 (2019) 2, pp. 359-395
Persistent link: https://www.econbiz.de/10012023741
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Integer programs for margining option portfolios by option spreads with more than four legs
Matsypura, Dmytro; Timkovsky, V. G. - In: Computational Management Science : CMS 10 (2013) 1, pp. 51-76
Persistent link: https://www.econbiz.de/10009713809
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Path Dependent Optimal Transport and Model Calibration on Exotic Derivatives
Guo, Ivan - 2019
In this paper, we introduce and develop the theory of semimartingale optimal transport in a path dependent setting. Instead of the classical constraints on marginal distributions, we consider a general framework of path dependent constraints. Duality results are established, representing the...
Persistent link: https://www.econbiz.de/10012896686
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American option sensitivities estimation via a generalized infinitesimal perturbation analysis approach
Chen, Nan; Liu, Yanchu - In: Operations research 62 (2014) 3, pp. 616-632
Persistent link: https://www.econbiz.de/10010381847