Zobrazeno 1 - 10
of 55
pro vyhledávání: '"King, Alan J."'
Autor:
King, Alan J., Rockafellar, R. Tyrrell
Publikováno v:
Mathematics of Operations Research, 1993 Feb 01. 18(1), 148-162.
Externí odkaz:
https://www.jstor.org/stable/3690158
Autor:
King, Alan J.
Publikováno v:
Mathematics of Operations Research, 1989 Nov 01. 14(4), 720-736.
Externí odkaz:
https://www.jstor.org/stable/3689739
Publikováno v:
International Journal of Theoretical & Applied Finance. Mar2005, Vol. 8 Issue 2, p141-159. 19p.
Publikováno v:
Annals of Operations Research. 1995, Vol. 56 Issue 1-4, p189-208. 20p.
Autor:
King, Alan J.1
Publikováno v:
Annals of Operations Research. 1993, Vol. 45 Issue 1-4, p165-177. 13p.
Autor:
Pennanen, Teemu, King, Alan J.
Convex optimization provides a natural framework for pricing and hedging financial instruments in incomplete market models. Duality theory of convex optimization has been shown to yield elementary proofs of well-known martingale-expressions for price
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od_______133::6001cab4a9a5fb4dda6fedac0c5f2f4a
http://edoc.hu-berlin.de/18452/8973
http://edoc.hu-berlin.de/18452/8973
This paper proposes a numerical approach for computing bounds for the arbitrage-free prices of an option when some options are available for trading. Convex duality reveals a close relationship with recently proposed calibration techniques and implie
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od_______133::16739a045c2a513b448eeade72d2ea73
http://edoc.hu-berlin.de/18452/8939
http://edoc.hu-berlin.de/18452/8939
Autor:
King, Alan J., Korf, Lisa A.
We propose a new framework for analyzing pricing theory for incomplete markets and contingent claims, using conjugate duality and optimization theory. Various statements in the literature of the fundamental theorem of asset pricing give conditions un
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od_______133::bfcf57f549073fb2d20a45141a0d937a
http://edoc.hu-berlin.de/18452/8916
http://edoc.hu-berlin.de/18452/8916
This paper addresses a multi-period investment model for capacity expansion in an uncertain environment. Using a scenario tree approach to model the evolution of uncertain demand and cost parameters, and fixed-charge cost functions to model the econo
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::e3d52935e39b5eb35f592fb97dc48290
http://edoc.hu-berlin.de/18452/8908
http://edoc.hu-berlin.de/18452/8908