On the Relation Between Option and Stock Prices: A Convex Optimization Approach.
Dimitris BertsimasIoana PopescuPublished in: Oper. Res. (2002)
Keyphrases
- convex optimization
- stock price
- option pricing
- stock market
- dow jones
- stock exchange
- interior point methods
- non stationary
- historical data
- news articles
- financial markets
- low rank
- convex optimization problems
- total variation
- primal dual
- financial data
- convex relaxation
- probabilistic model
- operator splitting
- tft lcd
- data mining
- text categorization
- feature extraction