SDP relaxation of arbitrage pricing bounds based on option prices and moments

DOI10.1007/S10957-009-9605-5MaRDI QIDQ848736zbMATHOpenAlexFDO

Authors James A. Primbs

Publication date 5 March 2010

Published in Journal of Optimization Theory and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10957-009-9605-5

zbMATH Keywords

momentsoption pricingsemidefinite programmingarbitrage

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Semidefinite programming (90C22)

Recommendations

• Bounding Option Prices by Semidefinite Programming: A Cutting Plane Algorithm
• scientific article; zbMATH DE number 2190117
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• PRICING A CLASS OF EXOTIC OPTIONS VIA MOMENTS AND SDP RELAXATIONS
• On the Relation Between Option and Stock Prices: A Convex Optimization Approach

Cites work

• scientific article; zbMATH DE number 40939 (Why is no real title available?)
• scientific article; zbMATH DE number 1534302 (Why is no real title available?)
• Bounding Option Prices by Semidefinite Programming: A Cutting Plane Algorithm
• Building a consistent pricing model from observed option prices
• Generalized Chebychev Inequalities: Theory and Applications in Decision Analysis
• Global optimization with polynomials and the problem of moments
• On the Relation Between Option and Stock Prices: A Convex Optimization Approach
• Optimal Inequalities in Probability Theory: A Convex Optimization Approach
• Option pricing when underlying stock returns are discontinuous
• PRICING A CLASS OF EXOTIC OPTIONS VIA MOMENTS AND SDP RELAXATIONS
• Sharp Upper and Lower Bounds for Basket Options
• THE RANGE OF TRADED OPTION PRICES
• The pricing of options and corporate liabilities
• The truncated complex $K$-moment problem

Cited in

(9)

• PRICING A CLASS OF EXOTIC OPTIONS VIA MOMENTS AND SDP RELAXATIONS
• Explicit hard bounding functions for boundary value problems for elliptic partial differential equations
• CALIBRATED OPTION BOUNDS
• scientific article; zbMATH DE number 2190117 (Why is no real title available?)
• A stochastic semidefinite programming approach for bounds on option pricing under regime switching
• Revisiting Semidefinite Programming Approaches to Options Pricing: Complexity and Computational Perspectives
• Semidefinite programming approaches for bounding Asian option prices
• Detecting and repairing arbitrage in traded option prices
• Computing arbitrage upper bounds on basket options in the presence of bid-ask spreads

Describes a project that uses

Uses Software

• SeDuMi
• SeDuMi Interface

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