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Optimization
A Journal of Mathematical Programming and Operations Research
Volume 58, 2009 - Issue 3: Continuous Optimization in Finance, Guest Editor: Dr. Gerhard-Wilhelm Weber
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Original Articles

Measures of model uncertainty and calibrated option bounds

Mustafa Ç. Pınar Department of Industrial Engineering, Bilkent University, 06800, Ankara, TurkeyCorrespondence[email protected]
Pages 335-350 | Received 28 May 2007, Accepted 29 Nov 2008, Published online: 18 Mar 2009

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Ahmet Camcι & Mustafa Ç. Pιnar. (2009) Pricing American contingent claims by stochastic linear programming. Optimization 58:6, pages 627-640.
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Articles from other publishers (2)

Hamed Davari-Ardakani, Majid Aminnayeri & Abbas Seifi. (2016) Multistage portfolio optimization with stocks and options. International Transactions in Operational Research 23:3, pages 593-622.
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Jonathan Y. Li & Roy H. Kwon. (2012) Market price-based convex risk measures: A distribution-free optimization approach. Operations Research Letters 40:2, pages 128-133.
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