On the Relation Between Option and Stock Prices: A Convex Optimization Approach
暂无分享,去创建一个
[1] A. Lo. Semi-parametric upper bounds for option prices and expected payoffs , 1987 .
[2] Katta G. Murty,et al. Some NP-complete problems in quadratic and nonlinear programming , 1987, Math. Program..
[3] James E. Smith,et al. Generalized Chebychev Inequalities: Theory and Applications in Decision Analysis , 1995, Oper. Res..
[4] S. Ross,et al. The valuation of options for alternative stochastic processes , 1976 .
[5] E. Jouini,et al. Martingales and Arbitrage in Securities Markets with Transaction Costs , 1995 .
[6] Bruce D. Grundy. Option Prices and the Underlying Asset's Return Distribution , 1991 .
[7] Phelim P. Boyle,et al. Bounds on contingent claims based on several assets , 1997 .
[8] David M. Kreps,et al. Martingales and arbitrage in multiperiod securities markets , 1979 .
[9] Bruno Dupire. Pricing with a Smile , 1994 .
[10] M. Rubinstein.. Implied Binomial Trees , 1994 .
[11] S. Ross. Options and Efficiency , 1976 .
[12] W. J. Studden,et al. Tchebycheff Systems: With Applications in Analysis and Statistics. , 1967 .
[13] S. Vaida,et al. Studies in the Mathematical Theory of Inventory and Production , 1958 .
[14] Martin Grötschel,et al. The ellipsoid method and its consequences in combinatorial optimization , 1981, Comb..
[15] Stephen P. Boyd,et al. Semidefinite Programming , 1996, SIAM Rev..
[16] K. Isii. On sharpness of tchebycheff-type inequalities , 1962 .
[17] Masakazu Kojima,et al. SDPA (SemiDefinite Programming Algorithm) User's Manual Version 6.2.0 , 1995 .
[18] K. Isii. The extrema of probability determined by generalized moments (I) bounded random variables , 1960 .
[19] S. Karlin,et al. Studies in the Mathematical Theory of Inventory and Production, by K.J. Arrow, S. Karlin, H. Scarf with contributions by M.J. Beckmann, J. Gessford, R.F. Muth. Stanford, California, Stanford University Press, 1958, X p.340p., $ 8.75. , 1959, Bulletin de l'Institut de recherches économiques et sociales.
[20] Yurii Nesterov,et al. Interior-point polynomial algorithms in convex programming , 1994, Siam studies in applied mathematics.