Bounding Option Prices by Semidefinite Programming: A Cutting Plane Algorithm

DOI10.1287/MNSC.48.5.665.7801MaRDI QIDQ3114783zbMATH OpenOpenAlexFDO

Authors Jun-Ya Gotoh, Hiroshi Konno

Publication date 19 February 2012

Published in Management Science (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1287/mnsc.48.5.665.7801

zbMATH Keywords

bounds on option pricesplane algorithmproblem cuttingsemidefinite programming

Mathematics Subject Classification ID

Semidefinite programming (90C22) Derivative securities (option pricing, hedging, etc.) (91G20) Financial applications of other theories (91G80)

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Cited in

(16)

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• Bounding the values of financial derivatives by the use of the moment problem
• Moment and polynomial bounds for ruin-related quantities in risk theory
• A stochastic semidefinite programming approach for bounds on option pricing under regime switching
• Semidefinite programming approaches for bounding Asian option prices
• Market price-based convex risk measures: a distribution-free optimization approach
• Alternative methods for determining option bounds: a review and comparison
• Sparse calibrations of contingent claims
• PRICING A CLASS OF EXOTIC OPTIONS VIA MOMENTS AND SDP RELAXATIONS
• scientific article; zbMATH DE number 2190117 (Why is no real title available?)
• Sharp Upper and Lower Bounds for Basket Options
• Revisiting Semidefinite Programming Approaches to Options Pricing: Complexity and Computational Perspectives
• Bounding contingent claim prices via hedging strategy with coherent risk measures
• SDP relaxation of arbitrage pricing bounds based on option prices and moments
• Pricing European options by numerical replication: quadratic programming with constraints
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