英文标题：
《A Duality Result for Robust Optimization with Expectation Constraints》
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作者：
Christopher W. Miller
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最新提交年份：
2016
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英文摘要：
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.
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中文摘要：
本文展示了一种计算期望约束鲁棒最大化问题解的实用方法，并立即应用于许多金融衍生品的无套利边界和超复制值建模。虽然之前的文献将超复制值与目标函数与迭代凹包络序列相关的凸极小化问题联系起来，但我们展示了如何将整个过程编码到单个凸极小化问题中。该极小化问题的自然有限维近似得到了一个易于实现的稀疏线性规划。我们通过对远期启动期权、连续监控的方差掉期和离散监控的伽马掉期的价格获得无套利边界来强调这一技术，每个掉期都受到有限多个普通期权的买卖价差的影响。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Mathematical Finance 数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
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一级分类：Mathematics 数学
二级分类：Optimization and Control 优化与控制
分类描述：Operations research, linear programming, control theory, systems theory, optimal control, game theory
运筹学，线性规划，控制论，系统论，最优控制，博弈论
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一级分类：Mathematics 数学
二级分类：Probability 概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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