A stochastic semidefinite programming approach for bounds on option pricing under regime switching

DOI10.1007/s10479-014-1651-1zbMath1336.91077OpenAlexW1999858663MaRDI QIDQ285991

Jonathan Y. Li, Roy H. Kwon

Publication date: 19 May 2016

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10479-014-1651-1

zbMATH Keywords

stochastic programmingsemidefinite programmingoption pricingbounds on option prices

Mathematics Subject Classification ID

Semidefinite programming (90C22) Stochastic programming (90C15) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items

Asset prices with investor protection and past information

Uses Software

• SeDuMi
• MSVARlib

Cites Work

• The Pricing of Options and Corporate Liabilities
• SDP relaxation of arbitrage pricing bounds based on option prices and moments
• Stochastic semidefinite programming: a new paradigm for stochastic optimization
• An empirical comparison of GARCH option pricing models
• Convex approximations in stochastic programming by semidefinite programming
• Bounding Option Prices by Semidefinite Programming: A Cutting Plane Algorithm
• On the Relation Between Option and Stock Prices: A Convex Optimization Approach
• Lectures on Stochastic Programming
• Two-Period Stochastic Programs with Simple Recourse
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• Introduction to Stochastic Programming
• Using SeDuMi 1.02, A Matlab toolbox for optimization over symmetric cones
• Option pricing under regime switching
• Option pricing: A simplified approach
• A Regime-Switching Model of Long-Term Stock Returns
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