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COMPUTING BOUNDS ON RISK-NEUTRAL DISTRIBUTIONS FROM THE OBSERVED PRICES OF CALL OPTIONS

NISHIHARA, MICHI; YAGIURA, MUTSUNORI; IBARAKI, TOSHIHIDE - In: Asia-Pacific Journal of Operational Research (APJOR) 27 (2010) 02, pp. 211-225

This paper derives, in closed forms, upper and lower bounds on risk-neutral cumulative distribution functions of the underlying asset price from the observed prices of European call options, based only on the no-arbitrage assumption. The computed bounds from the option price data show that the...

Persistent link: https://www.econbiz.de/10008464903

The use of dynamic programming in genetic algorithms for permutation problems

Yagiura, Mutsunori; Ibaraki, Toshihide - In: European Journal of Operational Research 92 (1996) 2, pp. 387-401

Persistent link: https://www.econbiz.de/10005287448

One-dimensional cutting stock problem to minimize the number of different patterns

Umetani, Shunji; Yagiura, Mutsunori; Ibaraki, Toshihide - In: European Journal of Operational Research 146 (2003) 2, pp. 388-402

Persistent link: https://www.econbiz.de/10005287664

A 3-flip neighborhood local search for the set covering problem

Yagiura, Mutsunori; Kishida, Masahiro; Ibaraki, Toshihide - In: European Journal of Operational Research 172 (2006) 2, pp. 472-499

Persistent link: https://www.econbiz.de/10005277454

A path relinking approach with ejection chains for the generalized assignment problem

Yagiura, Mutsunori; Ibaraki, Toshihide; Glover, Fred - In: European Journal of Operational Research 169 (2006) 2, pp. 548-569

Persistent link: https://www.econbiz.de/10005277759

Valuation of R&D investment under technological, market, and rival preemption uncertainty

Nishihara, Michi - In: Managerial and decision economics : MDE ; the … 39 (2018) 2, pp. 200-212

Persistent link: https://www.econbiz.de/10011969030

Valuation of an R&D project with three types of uncertainty

Nishihara, Michi - In: EURO Journal on decision processes 6 (2018) 1/2, pp. 93-113

Persistent link: https://www.econbiz.de/10011889471

Selling out or going public? : a real options signaling approach

Nishihara, Michi - In: Finance research letters 22 (2017), pp. 146-152

Persistent link: https://www.econbiz.de/10011808002

Closed-form solution to a real option problem with regime switching

Nishihara, Michi - In: Operations research letters 48 (2020) 6, pp. 703-707

Persistent link: https://www.econbiz.de/10012430068

Target-initiated takeover with search frictions

Nishihara, Michi - In: European journal of operational research : EJOR 305 (2023) 3, pp. 1480-1497

Persistent link: https://www.econbiz.de/10013499053