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

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  • Bertsimas, Dimitris.
  • Popescu, Ioana.

Abstract

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Suggested Citation

  • Bertsimas, Dimitris. & Popescu, Ioana., 1999. "On the relation between option and stock prices : a convex optimization approach," Working papers WP 4085-99., Massachusetts Institute of Technology (MIT), Sloan School of Management.
    • Handle: RePEc:mit:sloanp:2756
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    File URL: http://hdl.handle.net/1721.1/2756
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    Cited by:

    1. Laurent El Ghaoui & Maksim Oks & Francois Oustry, 2003. "Worst-Case Value-At-Risk and Robust Portfolio Optimization: A Conic Programming Approach," Operations Research, INFORMS, vol. 51(4), pages 543-556, August.
    2. Valeriy Ryabchenko & Sergey Sarykalin & Stan Uryasev, 2004. "Pricing European Options by Numerical Replication: Quadratic Programming with Constraints," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 11(3), pages 301-333, September.

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    Keywords

    HD28 .M414 no.4085-99;

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