Semidefinite programming approaches for bounding Asian option prices

MaRDI QIDQ3524412zbMATH OpenFDO

Authors Georgios V. Dalakouras, Roy H. Kwon, Panos M. Pardalos

Publication date 9 September 2008

zbMATH Keywords

Asian optionssemidefinite programming

Mathematics Subject Classification ID

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

Recommendations

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Cited in

(8)

• Convergence analysis of power penalty method for American bond option pricing
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• PRICING A CLASS OF EXOTIC OPTIONS VIA MOMENTS AND SDP RELAXATIONS
• scientific article; zbMATH DE number 2190117 (Why is no real title available?)
• Revisiting Semidefinite Programming Approaches to Options Pricing: Complexity and Computational Perspectives
• Zero-level pricing method with transaction cost
• SDP relaxation of arbitrage pricing bounds based on option prices and moments

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