Pages that link to "Item:Q3114783"
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The following pages link to Bounding Option Prices by Semidefinite Programming: A Cutting Plane Algorithm (Q3114783):
Displaying 12 items.
- A stochastic semidefinite programming approach for bounds on option pricing under regime switching (Q285991) (← links)
- Market price-based convex risk measures: a distribution-free optimization approach (Q435754) (← links)
- Bounding contingent claim prices via hedging strategy with coherent risk measures (Q662867) (← links)
- SDP relaxation of arbitrage pricing bounds based on option prices and moments (Q848736) (← links)
- Pricing European options by numerical replication: quadratic programming with constraints (Q853858) (← links)
- Equilibrium pricing bounds on option prices (Q941015) (← links)
- Third-order extensions of Lo's semiparametric bound for European call options (Q1026788) (← links)
- Bounding the values of financial derivatives by the use of the moment problem (Q2241580) (← links)
- Moment and polynomial bounds for ruin-related quantities in risk theory (Q2672152) (← links)
- SPARSE CALIBRATIONS OF CONTINGENT CLAIMS (Q5190053) (← links)
- PRICING A CLASS OF EXOTIC OPTIONS VIA MOMENTS AND SDP RELAXATIONS (Q5455259) (← links)
- Sharp Upper and Lower Bounds for Basket Options (Q5700151) (← links)