A moment approach to bounding exotic options under regime switching
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Publication:3145039
DOI10.1080/02331934.2012.684796zbMath1259.91083OpenAlexW2018181850MaRDI QIDQ3145039
Michael Jong Kim, Roy H. Kwon, Jonathan Y. Li
Publication date: 13 December 2012
Published in: Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/02331934.2012.684796
Related Items (2)
Iterative weak approximation and hard bounds for switching diffusion ⋮ SMOOTH UPPER BOUNDS FOR THE PRICE FUNCTION OF AMERICAN STYLE OPTIONS
Cites Work
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- Tight Bounds for Some Risk Measures, with Applications to Robust Portfolio Selection
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- A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
- The value of an Asian option
- Option pricing when underlying stock returns are discontinuous
- PRICING A CLASS OF EXOTIC OPTIONS VIA MOMENTS AND SDP RELAXATIONS
- A Regime-Switching Model of Long-Term Stock Returns
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