A novel feasible discretization method for linear semi-infinite programming applied to basket option pricing
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Publication:3111142
DOI10.1080/02331934.2011.619263zbMath1230.91189MaRDI QIDQ3111142
Publication date: 18 January 2012
Published in: Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/02331934.2011.619263
91G60: Numerical methods (including Monte Carlo methods)
65K05: Numerical mathematical programming methods
90C90: Applications of mathematical programming
90C34: Semi-infinite programming
91G20: Derivative securities (option pricing, hedging, etc.)
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Cites Work
- Static-arbitrage optimal subreplicating strategies for basket options
- An interior semi-infinite programming method
- An accelerated central cutting plane algorithm for linear semi-infinite programming
- Static arbitrage bounds on basket option prices
- Static-arbitrage lower bounds on the prices of basket options via linear programming
- Static-arbitrage upper bounds for the prices of basket options
- The Adaptive Convexification Algorithm: A Feasible Point Method for Semi-Infinite Programming
- Sharp Upper and Lower Bounds for Basket Options
