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A moment approach to bounding exotic options under regime switching - MaRDI portal

A moment approach to bounding exotic options under regime switching (Q3145039)

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A moment approach to bounding exotic options under regime switching
scientific article

    Statements

    title
    A moment approach to bounding exotic options under regime switching (English)
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    author
    Jonathan Y. Li
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    Michael Jong Kim
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    Roy H. Kwon
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    published in
    Optimization
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    publication date
    13 December 2012
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    zbMATH Keywords
    exotic options
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    regime switching
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    moment approach
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    semidefinite programming
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    Identifiers

    zbMATH DE Number
    6115646
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    OpenAlex ID
    W2018181850
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