SDP relaxation of arbitrage pricing bounds based on option prices and moments (Q848736)
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scientific article; zbMATH DE number 5677807
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| English | SDP relaxation of arbitrage pricing bounds based on option prices and moments |
scientific article; zbMATH DE number 5677807 |
Statements
SDP relaxation of arbitrage pricing bounds based on option prices and moments (English)
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5 March 2010
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option pricing
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semidefinite programming
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arbitrage
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moments
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0.8519659638404846
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0.8359034657478333
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0.8325316905975342
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0.8067315816879272
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