Now showing items 1-3 of 3
On semidefinite bounds for maximization of a non-convex quadratic objective over the ℓ1 unit ball
(E D P Sciences, 2006)
We consider the non-convex quadratic maximization problem subject to the ℓ1 unit ball constraint. The nature of the l1 norm structure makes this problem extremely hard to analyze, and as a consequence, the same difficulties ...
Discrete-time pricing and optimal exercise of American perpetual warrants in the geometric random walk model
An American option (or, warrant) is the right, but not the obligation, to purchase or sell an underlying equity at any time up to a predetermined expiration date for a predetermined amount. A perpetual American option ...
Measures of model uncertainty and calibrated option bounds
(Taylor & Francis, 2009)
Recently, Cont introduced a quantitative framework for measuring model uncertainty in the context of derivative pricing [Model uncertainty and its impact on the pricing of derivative instruments, Math. Finance, 16(3) (2006), ...