Robust option pricing

Author:

Bandi Chaithanya,Bertsimas Dimitris

Publisher

Elsevier BV

Subject

Information Systems and Management,Management Science and Operations Research,Modeling and Simulation,General Computer Science,Industrial and Manufacturing Engineering

Reference18 articles.

1. Robust convex optimization;Ben-Tal;Mathematics of Operations Research,1998

2. When is time continuous?;Bertsimas;Journal of Financial Economics,2000

3. Hedging derivative securities and incomplete markets: An ∊-arbitrage approach;Bertsimas;Operations Research,2001

4. Robust linear optimization under general norms;Bertsimas;Operations Research Letters,2004

5. The price of robustness;Bertsimas;Operations Research,2004

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