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A study of robust portfolio optimization with European options using polyhedral uncertainty sets

Ashrafi, Hedieh; Thiele, Aurélie C. - In: Operations research perspectives 8 (2021), pp. 1-18

We consider the problem of maximizing the worst-case return of a portfolio when the manager can invest in stocks as well as European options on those stocks, and the stock returns are modeled using an uncertainty set approach. Specifically, the manager knows a range forecast for each factor...

Persistent link: https://www.econbiz.de/10012435304

Sampling of one-dimensional probability measures in the convex order and computation of robust option price bounds

Alfonsi, Aurélien; Corbetta, Jacopo; Jourdain, Benjamin - In: International journal of theoretical and applied finance 22 (2019) 3, pp. 1-41

Persistent link: https://www.econbiz.de/10012019745

Superreplication of financial derivatives via convex programming

Kahalé, Nabil - In: Management science : journal of the Institute for … 63 (2017) 7, pp. 2323-2339

Persistent link: https://www.econbiz.de/10011729383

Robust pricing-hedging dualities in continuous time

Hou, Zhaoxu; Obłój, Jan - In: Finance and stochastics 22 (2018) 3, pp. 511-567

Persistent link: https://www.econbiz.de/10011945812

Hedging Greeks for a portfolio of options using linear and quadratic programming

Sinha, Pankaj; Johar, Archit - In: The journal of prediction markets 4 (2010) 1, pp. 17-26

Persistent link: https://www.econbiz.de/10003989829

Martingale optimal transport and robust hedging in continuous time

Dolinsky, Yan; Soner, Halil Mete - 2013

The duality between the robust (or equivalently, model independent) hedging of path dependent European options and a … to be a continuous function of time. The hedging problem is to construct a minimal super-hedging portfolio that consists …

Persistent link: https://www.econbiz.de/10009750641

Active hedging Greeks of an options portfolio integrating churning and minimization of cost of hedging using quadratic & linear programming

Sinha, Pankaj; Gupta, Akshay; Mudgal, Hemant - In: The journal of prediction markets 4 (2010) 2, pp. 1-14

Persistent link: https://www.econbiz.de/10008856708

Robust price bounds for the forward starting straddle

Hobson, David G.; Klimmek, Martin - In: Finance and stochastics 19 (2015) 1, pp. 189-214

Persistent link: https://www.econbiz.de/10011417160

Portfolio optimization for American options

Zeng, Yaxiong; Klabjan, Diego - In: The journal of computational finance 22 (2018) 3, pp. 37-64

Persistent link: https://www.econbiz.de/10011988191

Dynamic options hedging model under mark-to-market risk

Shi, Dongwei; Li, Yanyin; Yu, Xing - In: International journal of information technology and … 23 (2024) 2, pp. 137-155

Persistent link: https://www.econbiz.de/10015064850