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Vector Majorization and a Robust Option Replacement Trading Strategy

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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.

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Authors and Affiliations

  1. Department of Mathematics, Western Michigan University, Kalamazoo, MI, 49008, USA

    Q. J. Zhu

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  1. Q. J. Zhu
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Correspondence to Q. J. Zhu.

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Dedicated to Boris Mordukhovich on his 60th birthday.

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Zhu, Q.J. Vector Majorization and a Robust Option Replacement Trading Strategy. Set-Valued Anal 16, 335–356 (2008). https://doi.org/10.1007/s11228-008-0079-7

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  • DOI: https://doi.org/10.1007/s11228-008-0079-7

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