Robust One Period Option Modelling

F. Lutgens, J.F. Sturm

Research output: Working paperDiscussion paperOther research output

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Abstract

AMS classifications: 90C15; 90C20; 90C90; 49M29;
Original languageEnglish
Place of PublicationTilburg
PublisherOperations research
Number of pages22
Volume2002-114
Publication statusPublished - 2002

Publication series

NameCentER Discussion Paper
Volume2002-114

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Modeling

Keywords

  • return on investment
  • option pricing models
  • optimization
  • portfolio investment

Cite this

Lutgens, F., & Sturm, J. F. (2002). Robust One Period Option Modelling. (CentER Discussion Paper; Vol. 2002-114). Tilburg: Operations research.
Lutgens, F. ; Sturm, J.F. / Robust One Period Option Modelling. Tilburg : Operations research, 2002. (CentER Discussion Paper).
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Lutgens, F & Sturm, JF 2002 'Robust One Period Option Modelling' CentER Discussion Paper, vol. 2002-114, Operations research, Tilburg.

Robust One Period Option Modelling. / Lutgens, F.; Sturm, J.F.

Tilburg : Operations research, 2002. (CentER Discussion Paper; Vol. 2002-114).

Research output: Working paperDiscussion paperOther research output

TY - UNPB

T1 - Robust One Period Option Modelling

AU - Lutgens, F.

AU - Sturm, J.F.

N1 - Pagination: 22

PY - 2002

Y1 - 2002

N2 - AMS classifications: 90C15; 90C20; 90C90; 49M29;

AB - AMS classifications: 90C15; 90C20; 90C90; 49M29;

KW - return on investment

KW - option pricing models

KW - optimization

KW - portfolio investment

M3 - Discussion paper

VL - 2002-114

T3 - CentER Discussion Paper

BT - Robust One Period Option Modelling

PB - Operations research

CY - Tilburg

ER -

Lutgens F, Sturm JF. Robust One Period Option Modelling. Tilburg: Operations research. 2002. (CentER Discussion Paper).