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Equilibrium Pricing Bound on Option Prices.

Jouini, Elyès; Chazal, Marie - Université Paris-Dauphine - 2008

We consider the problem of valuing European options in a complete market but with incomplete data. Typically, when the underlying asset dynamics is not specified, the martingale probability measure is unknown. Given a consensus on the actual distribution of the underlying price at maturity, we...

Persistent link: https://www.econbiz.de/10008532688

A sequential quadratic programming with a dual parametrization approach to nonlinear semi-infinite programming

Vaz, A.; Fernandes, Edite; Gomes, M. - In: TOP: An Official Journal of the Spanish Society of … 11 (2003) 1, pp. 109-130

Persistent link: https://www.econbiz.de/10005598321

Numerical treatment of an asset price model with non-stochastic uncertainty

Tichatschke, R.; Kaplan, A.; Voetmann, T.; Böhm, M. - In: TOP: An Official Journal of the Spanish Society of … 10 (2002) 1, pp. 1-30

Persistent link: https://www.econbiz.de/10005598353

Semi-infinite programming and applications : an international symposium, held at Austin, Texas, September 8 - 10, 1981

Fiacco, Anthony V. (ed.); Kortanek, Kenneth O. (contributor) - 1983

Persistent link: https://www.econbiz.de/10000091592

On strong KKT type sufficient optimality conditions for nonsmooth multiobjective semi-infinite mathematical programming problems with equilibrium constraints

Pandey, Yogendra; Mishra, S. K. - In: Operations research letters 44 (2016) 1, pp. 148-151

Persistent link: https://www.econbiz.de/10011455595

Semidefinite programming lower bounds and branch-and-bound algorithms for the quadratic minimum spanning tree problem

Guimarães, Dilson Almeida; Cunha, Alexandre Salles da; … - In: European journal of operational research : EJOR 280 (2020) 1, pp. 46-58

Persistent link: https://www.econbiz.de/10012132359

Exact relaxations for parametric robust linear optimization problems

Chuong Thai Doan - In: Operations research letters 47 (2019) 2, pp. 105-109

Persistent link: https://www.econbiz.de/10012003272

A survey of adjustable robust optimization

Yanıkoğlu, İhsan; Gorissen, Bram L.; Hertog, Dirk den - In: European journal of operational research : EJOR 277 (2019) 3, pp. 799-813

Persistent link: https://www.econbiz.de/10012102192

Decomposition algorithm for distributionally robust optimization using Wasserstein metric with an application to a class of regression models

Luo, Fengqiao; Mehrotra, Sanjay - In: European journal of operational research : EJOR 278 (2019) 1, pp. 20-35

Persistent link: https://www.econbiz.de/10012102588

A reduction method for nonlinear semi-infinite programming based on an exact penalty technique

Mota, Alzira; Vaz, A. Ismael F. - In: International journal of business excellence 9 (2016) 3, pp. 348-363

Persistent link: https://www.econbiz.de/10011627255

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