A stochastic semidefinite programming approach for bounds on option pricing under regime switching
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Publication:285991
DOI10.1007/S10479-014-1651-1zbMATH Open1336.91077OpenAlexW1999858663MaRDI QIDQ285991FDOQ285991
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
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- scientific article; zbMATH DE number 2190117
Derivative securities (option pricing, hedging, etc.) (91G20) Semidefinite programming (90C22) Stochastic programming (90C15)
Cites Work
- Using SeDuMi 1.02, A Matlab toolbox for optimization over symmetric cones
- The pricing of options and corporate liabilities
- A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
- Robust optimization
- On the Relation Between Option and Stock Prices: A Convex Optimization Approach
- Lectures on Stochastic Programming
- Title not available (Why is that?)
- Introduction to Stochastic Programming
- Option pricing: A simplified approach
- Convex approximations in stochastic programming by semidefinite programming
- Bounding Option Prices by Semidefinite Programming: A Cutting Plane Algorithm
- Semidefinite programming approaches for bounding Asian option prices
- Two-Period Stochastic Programs with Simple Recourse
- Option pricing under regime switching
- A Regime-Switching Model of Long-Term Stock Returns
- SDP relaxation of arbitrage pricing bounds based on option prices and moments
- Stochastic semidefinite programming: a new paradigm for stochastic optimization
- An empirical comparison of GARCH option pricing models
Cited In (6)
- Stochastic Approximation Algorithms for Parameter Estimation in Option Pricing with Regime Switching
- Title not available (Why is that?)
- Stochastic optimization algorithms for pricing American put options under regime-switching models
- Semidefinite programming approaches for bounding Asian option prices
- Bounding Option Prices by Semidefinite Programming: A Cutting Plane Algorithm
- Asset prices with investor protection and past information
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