SDP relaxation of arbitrage pricing bounds based on option prices and moments
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Publication:848736
DOI10.1007/S10957-009-9605-5zbMATH Open1183.91180OpenAlexW2045044294MaRDI QIDQ848736FDOQ848736
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
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Cites Work
- The pricing of options and corporate liabilities
- Global optimization with polynomials and the problem of moments
- Option pricing when underlying stock returns are discontinuous
- THE RANGE OF TRADED OPTION PRICES
- On the Relation Between Option and Stock Prices: A Convex Optimization Approach
- Title not available (Why is that?)
- Generalized Chebychev Inequalities: Theory and Applications in Decision Analysis
- Optimal Inequalities in Probability Theory: A Convex Optimization Approach
- Sharp Upper and Lower Bounds for Basket Options
- Bounding Option Prices by Semidefinite Programming: A Cutting Plane Algorithm
- The truncated complex $K$-moment problem
- PRICING A CLASS OF EXOTIC OPTIONS VIA MOMENTS AND SDP RELAXATIONS
- Title not available (Why is that?)
- Building a consistent pricing model from observed option prices
Cited In (9)
- Explicit hard bounding functions for boundary value problems for elliptic partial differential equations
- A stochastic semidefinite programming approach for bounds on option pricing under regime switching
- Title not available (Why is that?)
- Detecting and repairing arbitrage in traded option prices
- PRICING A CLASS OF EXOTIC OPTIONS VIA MOMENTS AND SDP RELAXATIONS
- Revisiting Semidefinite Programming Approaches to Options Pricing: Complexity and Computational Perspectives
- Semidefinite programming approaches for bounding Asian option prices
- Computing arbitrage upper bounds on basket options in the presence of bid-ask spreads
- CALIBRATED OPTION BOUNDS
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