scientific article; zbMATH DE number 2190117

MaRDI QIDQ5462175zbMATH OpenFDO

Authors Deren Han, Xun Li, Defeng Sun, Jie Sun

Publication date 1 August 2005

zbMATH Keywords

bound of option pricesemidefinite programming relaxationthe moment problem

Mathematics Subject Classification ID

Semidefinite programming (90C22) Microeconomic theory (price theory and economic markets) (91B24)

Recommendations

• Bounding Option Prices by Semidefinite Programming: A Cutting Plane Algorithm
• SDP relaxation of arbitrage pricing bounds based on option prices and moments
• Semidefinite programming approaches for bounding Asian option prices
• PRICING A CLASS OF EXOTIC OPTIONS VIA MOMENTS AND SDP RELAXATIONS
• A stochastic semidefinite programming approach for bounds on option pricing under regime switching

Cited in

(11)

• Computing best bounds for nonlinear risk measures with partial information
• Duality in option pricing based on prices of other derivatives
• A stochastic semidefinite programming approach for bounds on option pricing under regime switching
• On distributional robust probability functions and their computations
• Bounding Option Prices by Semidefinite Programming: A Cutting Plane Algorithm
• Semidefinite programming approaches for bounding Asian option prices
• Marginal and dependence uncertainty: bounds, optimal transport, and sharpness
• PRICING A CLASS OF EXOTIC OPTIONS VIA MOMENTS AND SDP RELAXATIONS
• Revisiting Semidefinite Programming Approaches to Options Pricing: Complexity and Computational Perspectives
• A semi-analytic method for valuing high-dimensional options on the maximum and minimum of multiple assets
• SDP relaxation of arbitrage pricing bounds based on option prices and moments

This page was built for publication:

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5462175)