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

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+On the Relation Between Option and Stock Prices: A Convex Optimization Approach
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+The Pricing of Options and Corporate Liabilities
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+Pricing exotic options under regime switching
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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
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+Third-order extensions of Lo's semiparametric bound for European call options
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