PRICING A CLASS OF EXOTIC OPTIONS VIA MOMENTS AND SDP RELAXATIONS
DOI10.1111/J.1467-9965.2006.00279.XzbMATH Open1133.91428OpenAlexW2134489088MaRDI QIDQ5455259FDOQ5455259
Author name not available (Why is that?)
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
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
- Title not available (Why is that?)
- Title not available (Why is that?)
- Title not available (Why is that?)
- Title not available (Why is that?)
- Title not available (Why is that?)
- Title not available (Why is that?)
- The value of an Asian option
- Semidefinite Programming
- Krein condition in probabilistic moment problems
- Global optimization with polynomials and the problem of moments
- GloptiPoly
- On the Relation Between Option and Stock Prices: A Convex Optimization Approach
- Asymptotically optimal importance sampling and stratification for pricing path-dependent options
- Bounding Option Prices by Semidefinite Programming: A Cutting Plane Algorithm
- 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
- 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 (21)
- 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
- The moment-SOS hierarchy: applications and related topics
- On distributional robust probability functions and their computations
- SDP relaxation of arbitrage pricing bounds based on option prices and moments
- A moment approach to bounding exotic options under regime switching
- Tighter bounds on transient moments of stochastic chemical systems
- Pricing of proactive hedging European option with dynamic discrete position strategy
- GpoSolver: a Matlab/C++ toolbox for global polynomial optimization
- No arbitrage conditions for simple trading strategies
- Distributionally Robust Optimization with Infinitely Constrained Ambiguity Sets
- 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
- A Weak Approximation of Stochastic Differential Equations with Jumps Through Tempered Polynomial Optimization
- Semi-algebraic approximation using Christoffel-Darboux kernel
- Bounding Stationary Averages of Polynomial Diffusions via Semidefinite Programming
- Inference Problems Involving Moment Determinacy of Distributions
- Static hedging and pricing of exotic options with payoff frames
Uses Software
Recommendations
- Title not available (Why is that?) 👍 👎
- SDP relaxation of arbitrage pricing bounds based on option prices and moments 👍 👎
- Bounding Option Prices by Semidefinite Programming: A Cutting Plane Algorithm 👍 👎
- Title not available (Why is that?) 👍 👎
- Pricing exotic options. Monotonicity in volatility and efficient simulation 👍 👎
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)
