PRICING A CLASS OF EXOTIC OPTIONS VIA MOMENTS AND SDP RELAXATIONS
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Cited in
(25)- Static hedging and pricing of exotic options with payoff frames
- Distributionally robust optimization with infinitely constrained ambiguity sets
- A weak approximation of stochastic differential equations with jumps through tempered polynomial optimization
- Bounding contingent claim prices via hedging strategy with coherent risk measures
- Sum-of-squares for bounded rationality
- Analysis of transient queues with semidefinite optimization
- A semidefinite programming approach to the generalized problem of moments
- On distributional robust probability functions and their computations
- Pricing exotic derivatives exploiting structure
- scientific article; zbMATH DE number 2190117 (Why is no real title available?)
- SDP relaxation of arbitrage pricing bounds based on option prices and moments
- The moment-SOS hierarchy: applications and related topics
- A moment approach to bounding exotic options under regime switching
- Gposolver: a Matlab/C++ toolbox for global polynomial optimization
- Tighter bounds on transient moments of stochastic chemical systems
- Pricing of proactive hedging European option with dynamic discrete position strategy
- Revisiting Semidefinite Programming Approaches to Options Pricing: Complexity and Computational Perspectives
- Semidefinite programming approaches for bounding Asian option prices
- Inference problems involving moment determinacy of distributions
- Bounding stationary averages of polynomial diffusions via semidefinite programming
- No arbitrage conditions for simple trading strategies
- Numerical evaluation of dynamic behavior of Ornstein-Uhlenbeck processes modified by various boundaries and its application to pricing barrier options
- An optimization approach to weak approximation of stochastic differential equations with jumps
- The truncated Stieltjes moment problem solved by using kernel density functions
- Semi-algebraic approximation using Christoffel-Darboux kernel
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