A moment approach to bounding exotic options under regime switching (Q3145039): Difference between revisions

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+MaRDI publication profile
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+https://doi.org/10.1080/02331934.2012.684796
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+W2018181850
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@@ Property / cites work @@
+On the Relation Between Option and Stock Prices: A Convex Optimization Approach
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+The Pricing of Options and Corporate Liabilities
@@ Property / cites work: The Pricing of Options and Corporate Liabilities / rank @@
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+Pricing exotic options under regime switching
@@ Property / cites work: Pricing exotic options under regime switching / rank @@
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+Tight Bounds for Some Risk Measures, with Applications to Robust Portfolio Selection
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+A novel feasible discretization method for linear semi-infinite programming applied to basket option pricing
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+A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
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+A Regime-Switching Model of Long-Term Stock Returns
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+PRICING A CLASS OF EXOTIC OPTIONS VIA MOMENTS AND SDP RELAXATIONS
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+Option pricing when underlying stock returns are discontinuous
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+Static-arbitrage lower bounds on the prices of basket options via linear programming
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+The value of an Asian option
@@ Property / cites work: The value of an Asian option / rank @@
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+Third-order extensions of Lo's semiparametric bound for European call options
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+Publication:3145039