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...

I examine accuracy and robustness of European spread option pricing method of Hurd and Zhou (2010) for European spread options. This method approximates an indefinite bivariate integral by a sum over a uniform grid and the method's accuracy varies greatly depending on the choice of truncation...