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

Keywords

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

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