A stochastic semidefinite programming approach for bounds on option pricing under regime switching

DOI10.1007/S10479-014-1651-1MaRDI QIDQ285991zbMATH OpenOpenAlexFDO

Authors Roy H. Kwon, Jonathan Y. Li

Publication date 19 May 2016

Published in Annals of Operations Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10479-014-1651-1

zbMATH Keywords

option pricingsemidefinite programmingstochastic programmingbounds on option prices

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Semidefinite programming (90C22) Stochastic programming (90C15)

Recommendations

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• scientific article; zbMATH DE number 2190117

Cites work

• scientific article; zbMATH DE number 663895 (Why is no real title available?)
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• A Regime-Switching Model of Long-Term Stock Returns
• An empirical comparison of GARCH option pricing models
• Bounding Option Prices by Semidefinite Programming: A Cutting Plane Algorithm
• Convex approximations in stochastic programming by semidefinite programming
• Introduction to Stochastic Programming
• Lectures on Stochastic Programming
• On the Relation Between Option and Stock Prices: A Convex Optimization Approach
• Option pricing under regime switching
• Option pricing: A simplified approach
• Robust optimization
• SDP relaxation of arbitrage pricing bounds based on option prices and moments
• Semidefinite programming approaches for bounding Asian option prices
• Stochastic semidefinite programming: a new paradigm for stochastic optimization
• The pricing of options and corporate liabilities
• Two-Period Stochastic Programs with Simple Recourse
• Using SeDuMi 1.02, A Matlab toolbox for optimization over symmetric cones

Cited in

(6)

• scientific article; zbMATH DE number 2190117 (Why is no real title available?)
• Stochastic optimization algorithms for pricing American put options under regime-switching models
• Semidefinite programming approaches for bounding Asian option prices
• Stochastic Approximation Algorithms for Parameter Estimation in Option Pricing with Regime Switching
• Bounding Option Prices by Semidefinite Programming: A Cutting Plane Algorithm
• Asset prices with investor protection and past information

Describes a project that uses

Uses Software

• SeDuMi
• MSVARlib

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