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Computing Bounds on Risk-neutral Distributions from the Observed Prices of Call Options.

Michi NishiharaMutsunori YagiuraToshihide Ibaraki
Published in: Asia Pac. J. Oper. Res. (2010)
Keyphrases
  • risk neutral
  • payoff functions
  • risk averse
  • lower bound
  • probability distribution
  • utility function
  • risk aversion
  • random variables
  • optimal solution
  • graphical models
  • stochastic programming