Vector Majorization and a Robust Option Replacement Trading Strategy
Document Type
Article
Publication Date
6-2008
Abstract
We show that vector majorization and its related preference sets can be used to establish useful option pricing bounds for a robust option replacement investment strategy. This robust trading strategy can help to overcome some of the difficulties in implementing arbitrage option trading strategies when there exists model inaccuracy.
WMU ScholarWorks Citation
Zhu, Qiji Jim, "Vector Majorization and a Robust Option Replacement Trading Strategy" (2008). Math Faculty Publications. 37.
https://scholarworks.wmich.edu/math_pubs/37
COinS
Comments
https://doi.org/10.1007/s11228-008-0079-7