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I receive an error when trying to reindex Product Prices: "Some problem with reindexing process."

Digging some more, I extracted this error message on exception.log:

2015-10-06T17:17:52+00:00 DEBUG (7): Exception message: SQLSTATE[23000]: Integrity constraint violation: 1452 Cannot add or update a child row: a foreign key constraint fails (`db1192491-myDB3`.`catalog_product_index_tier_price`, CONSTRAINT `FK_CATALOG_PRODUCT_INDEX_TIER_PRICE_ENTITY` FOREIGN KEY (`entity_id`) REFERENCES `catalog_product_entity` (`entity_id`) O)



Trace: #0 /is/htdocs/wp1192491_HPZFWNW898/www/lib/Zend/Db/Statement.php(300): Zend_Db_Statement_Pdo->_execute(Array)

#1 /is/htdocs/wp1192491_HPZFWNW898/www/lib/Zend/Db/Adapter/Abstract.php(468): Zend_Db_Statement->execute(Array)

#2 /is/htdocs/wp1192491_HPZFWNW898/www/lib/Zend/Db/Adapter/Pdo/Abstract.php(238): Zend_Db_Adapter_Abstract->query('INSERT INTO `ca...', Array)

#3 /is/htdocs/wp1192491_HPZFWNW898/www/lib/Varien/Db/Adapter/Pdo/Mysql.php(333): Zend_Db_Adapter_Pdo_Abstract->query('INSERT INTO `ca...', Array)

#4 /is/htdocs/wp1192491_HPZFWNW898/www/app/code/core/Mage/Catalog/Model/Resource/Eav/Mysql4/Product/Indexer/Price.php(412): Varien_Db_Adapter_Pdo_Mysql->query('INSERT INTO `ca...')

#5 /is/htdocs/wp1192491_HPZFWNW898/www/app/code/core/Mage/Catalog/Model/Resource/Eav/Mysql4/Product/Indexer/Price.php(353): Mage_Catalog_Model_Resource_Eav_Mysql4_Product_Indexer_Price->_prepareTierPriceIndex()

#6 /is/htdocs/wp1192491_HPZFWNW898/www/app/code/core/Mage/Index/Model/Indexer/Abstract.php(125): Mage_Catalog_Model_Resource_Eav_Mysql4_Product_Indexer_Price->reindexAll()

#7 /is/htdocs/wp1192491_HPZFWNW898/www/app/code/core/Mage/Index/Model/Process.php(139): Mage_Index_Model_Indexer_Abstract->reindexAll()

#8 /is/htdocs/wp1192491_HPZFWNW898/www/app/code/core/Mage/Index/Model/Process.php(167): Mage_Index_Model_Process->reindexAll()

#9 /is/htdocs/wp1192491_HPZFWNW898/www/app/code/core/Mage/Index/controllers/Adminhtml/ProcessController.php(124): Mage_Index_Model_Process->reindexEverything()

#10 /is/htdocs/wp1192491_HPZFWNW898/www/app/code/core/Mage/Core/Controller/Varien/Action.php(418): Mage_Index_Adminhtml_ProcessController->reindexProcessAction()

#11 /is/htdocs/wp1192491_HPZFWNW898/www/app/code/core/Mage/Core/Controller/Varien/Router/Standard.php(254): Mage_Core_Controller_Varien_Action->dispatch('reindexProcess')

#12 /is/htdocs/wp1192491_HPZFWNW898/www/app/code/core/Mage/Core/Controller/Varien/Front.php(177): Mage_Core_Controller_Varien_Router_Standard->match(Object(Mage_Core_Controller_Request_Http))

#13 /is/htdocs/wp1192491_HPZFWNW898/www/app/code/core/Mage/Core/Model/App.php(304): Mage_Core_Controller_Varien_Front->dispatch()

#14 /is/htdocs/wp1192491_HPZFWNW898/www/app/Mage.php(596): Mage_Core_Model_App->run(Array)

#15 /is/htdocs/wp1192491_HPZFWNW898/www/index.php(78): Mage::run('', 'store')

#16 {main}

I tried this solution on MySQL but didn't work (MySQL says no row was changed):

delete FROM `catalog_product_index_tier_price` where entity_id not in (select entity_id from catalog_product_entity);

Do you have some suggestions about what could I try?

Quite a lot of people have similar issues but couldn't find any of them related to the Product Price index and the tier prices in particular.

Thanks for any ideas,

EDIT: also tried removing the contents on var/locks directory, to no avail. I re-saved as well the products with tier prices, but it made no difference.

Try doing it programmatically. This way:

$indexCollection = Mage::getModel('index/process')->getCollection();

    foreach ($indexCollection as $index) {

      $index->reindexAll();

  }