PRICING A CLASS OF EXOTIC OPTIONS VIA MOMENTS AND SDP RELAXATIONS
From MaRDI portal
Publication:5455259
DOI10.1111/J.1467-9965.2006.00279.XzbMATH Open1133.91428OpenAlexW2134489088MaRDI QIDQ5455259FDOQ5455259
Authors:
Publication date: 3 April 2008
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9965.2006.00279.x
Recommendations
- Semidefinite programming approaches for bounding Asian option prices
- SDP relaxation of arbitrage pricing bounds based on option prices and moments
- Bounding Option Prices by Semidefinite Programming: A Cutting Plane Algorithm
- scientific article; zbMATH DE number 2190117
- Pricing exotic options. Monotonicity in volatility and efficient simulation
Applications of statistics to actuarial sciences and financial mathematics (62P05) Characterization and structure theory of statistical distributions (62E10) Numerical solutions to stochastic differential and integral equations (65C30)
Cites Work
- The value of an Asian option
- Title not available (Why is that?)
- Semidefinite Programming
- Krein condition in probabilistic moment problems
- Global optimization with polynomials and the problem of moments
- GloptiPoly
- Title not available (Why is that?)
- On the Relation Between Option and Stock Prices: A Convex Optimization Approach
- Title not available (Why is that?)
- Asymptotically optimal importance sampling and stratification for pricing path-dependent options
- Title not available (Why is that?)
- Bounding Option Prices by Semidefinite Programming: A Cutting Plane Algorithm
- Title not available (Why is that?)
- Stieltjes classes for moment-indeterminate probability distributions
- A Conic Programming Approach to Generalized Tchebycheff Inequalities
- Existence of Markov Controls and Characterization of Optimal Markov Controls
- Title not available (Why is that?)
- Computing Moments of the Exit Time Distribution for Markov Processes by Linear Programming
- A LINEAR PROGRAMMING APPROACH TO THE STEADY-STATE ANALYSIS OF REFLECTED BROWNIAN MOTION
- SDP vs. LP Relaxations for the Moment Approach in Some Performance Evaluation Problems
- Qualitative behavior of geostochastic systems
Cited In (24)
- 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
- Title not available (Why is that?)
- The moment-SOS hierarchy: applications and related topics
- On distributional robust probability functions and their computations
- Pricing exotic derivatives exploiting structure
- SDP relaxation of arbitrage pricing bounds based on option prices and moments
- 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
- 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
- Static hedging and pricing of exotic options with payoff frames
- Distributionally robust optimization with infinitely constrained ambiguity sets
Uses Software
This page was built for publication: PRICING A CLASS OF EXOTIC OPTIONS VIA MOMENTS AND SDP RELAXATIONS
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5455259)
