Semiparametric bounds of mean and variance for exotic options
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Publication:1042983
DOI10.1007/S11425-009-0105-8zbMATH Open1186.91217OpenAlexW1990159111MaRDI QIDQ1042983FDOQ1042983
Publication date: 7 December 2009
Published in: Science in China. Series A (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11425-009-0105-8
Numerical optimization and variational techniques (65K10) Derivative securities (option pricing, hedging, etc.) (91G20) Combinatorial probability (60C05) Numerical methods involving duality (49M29)
Cites Work
- Moment bounds for truncated random variables
- Static-arbitrage upper bounds for the prices of basket options
- Generalized Chebyshev Bounds via Semidefinite Programming
- On the Relation Between Option and Stock Prices: A Convex Optimization Approach
- Optimal Inequalities in Probability Theory: A Convex Optimization Approach
- Sharp Upper and Lower Bounds for Basket Options
- A Semidefinite Programming Approach to Optimal-Moment Bounds for Convex Classes of Distributions
- Third-order extensions of Lo's semiparametric bound for European call options
- Static arbitrage bounds on basket option prices
- Option bounds
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