A moment approach to bounding exotic options under regime switching

DOI10.1080/02331934.2012.684796zbMath1259.91083MaRDI QIDQ3145039

Michael Jong Kim, Roy H. Kwon, Jonathan Y. Li

Publication date: 13 December 2012

Published in: Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02331934.2012.684796

zbMATH Keywords

semidefinite programming; regime switching; exotic options; moment approach

Mathematics Subject Classification ID

90C22: Semidefinite programming

91G20: Derivative securities (option pricing, hedging, etc.)

Related Items

SMOOTH UPPER BOUNDS FOR THE PRICE FUNCTION OF AMERICAN STYLE OPTIONS, Iterative weak approximation and hard bounds for switching diffusion

Cites Work

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