On the relation between option and stock prices: A convex optimization approach

Operations Research

Volumn 50, Issue 2, 2002, Pages 358-374

  Bertsimas, Dimitris ^a   Popescu, Ioana ^a  

^a MASSACHUSETTS INSTITUTE OF TECHNOLOGY   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

ALGORITHMS; COMPUTATIONAL COMPLEXITY; COSTS; INDUSTRIAL ECONOMICS; OPERATIONS RESEARCH; OPTIMIZATION; PROBLEM SOLVING;

PRICE DYNAMICS;

INVENTORY CONTROL;

EID: 0036508521     PISSN: 0030364X     EISSN: None     Source Type: Journal    
DOI: 10.1287/opre.50.2.358.424     Document Type: Article

References (23)

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7. Martingales and arbitrage in multiperiod securities markets
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9. On the sharpness of Chebyshev-type inequalities
10. Martingales and arbitrage in securities markets with transaction costs
11. Semiparametric upper bounds for option prices and expected payoffs
12. Some NP-complete problems in quadratic and nonlinear programming
13. Options and efficiency
14. Implied binomial trees
15. A min-max solution of an inventory problem
16. Generalized Chebyshev inequalities: Theory and applications in decision analysis
17. Semidefinite programming