A moment approach to bounding exotic options under regime switching

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

zbMATH Keywords

semidefinite programmingregime switchingexotic optionsmoment approach

Mathematics Subject Classification ID

Semidefinite programming (90C22) Derivative securities (option pricing, hedging, etc.) (91G20)

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

• The Pricing of Options and Corporate Liabilities
• Pricing exotic options under regime switching
• Third-order extensions of Lo's semiparametric bound for European call options
• Static-arbitrage lower bounds on the prices of basket options via linear programming
• A novel feasible discretization method for linear semi-infinite programming applied to basket option pricing
• Tight Bounds for Some Risk Measures, with Applications to Robust Portfolio Selection
• On the Relation Between Option and Stock Prices: A Convex Optimization Approach
• 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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