A stochastic semidefinite programming approach for bounds on option pricing under regime switching (Q285991)
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scientific article; zbMATH DE number 6582840
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| English | A stochastic semidefinite programming approach for bounds on option pricing under regime switching |
scientific article; zbMATH DE number 6582840 |
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A stochastic semidefinite programming approach for bounds on option pricing under regime switching (English)
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19 May 2016
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option pricing
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bounds on option prices
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stochastic programming
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semidefinite programming
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0.7994905114173889
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0.7775815725326538
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0.7667629718780518
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0.7662441730499268
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