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- W4293429477 abstract "This paper demonstrates a practical method for computing the solution of an expectation-constrained robust maximization problem with immediate applications to model-free no-arbitrage bounds and super-replication values for many financial derivatives. While the previous literature has connected super-replication values to a convex minimization problem whose objective function is related to a sequence of iterated concave envelopes, we show how this whole process can be encoded in a single convex minimization problem. The natural finite-dimensional approximation of this minimization problem results in an easily-implementable sparse linear program. We highlight this technique by obtaining no-arbitrage bounds on the prices of forward-starting options, continuously-monitored variance swaps, and discretely-monitored gamma swaps, each subject to observed bid-ask spreads of finitely-many vanilla options." @default.
- W4293429477 created "2022-08-29" @default.
- W4293429477 creator A5045939001 @default.
- W4293429477 date "2016-10-04" @default.
- W4293429477 modified "2023-09-27" @default.
- W4293429477 title "A Duality Result for Robust Optimization with Expectation Constraints" @default.
- W4293429477 doi "https://doi.org/10.48550/arxiv.1610.01227" @default.
- W4293429477 hasPublicationYear "2016" @default.
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