A novel feasible discretization method for linear semi-infinite programming applied to basket option pricing

DOI10.1080/02331934.2011.619263zbMath1230.91189OpenAlexW2054709617MaRDI QIDQ3111142

Ralf Werner, Sebastian Daum

Publication date: 18 January 2012

Published in: Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02331934.2011.619263

zbMATH Keywords

semi-infinite programmingbasket optionsfeasible discretization method

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Numerical mathematical programming methods (65K05) Applications of mathematical programming (90C90) Semi-infinite programming (90C34) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (11)

Some sufficient efficiency conditions in semiinfinite multiobjective fractional programming based on exponential type invexities ⋮ On the relationship between the discrete and continuous bounding moment problems and their numerical solutions ⋮ Feasible Method for Semi-Infinite Programs ⋮ Recent contributions to linear semi-infinite optimization ⋮ Comments on: Stability in linear optimization and related topics. A personal tour ⋮ Recent contributions to linear semi-infinite optimization: an update ⋮ Computing lower bounds on basket option prices by discretizing semi-infinite linear programming ⋮ How to solve a semi-infinite optimization problem ⋮ Duality for robust linear infinite programming problems revisited ⋮ Membership testing for Bernoulli and tail-dependence matrices ⋮ A moment approach to bounding exotic options under regime switching

Cites Work

• Static-arbitrage optimal subreplicating strategies for basket options
• An interior semi-infinite programming method
• An accelerated central cutting plane algorithm for linear semi-infinite programming
• Static arbitrage bounds on basket option prices
• Static-arbitrage lower bounds on the prices of basket options via linear programming
• Static-arbitrage upper bounds for the prices of basket options
• The Adaptive Convexification Algorithm: A Feasible Point Method for Semi-Infinite Programming
• Sharp Upper and Lower Bounds for Basket Options

This page was built for publication: A novel feasible discretization method for linear semi-infinite programming applied to basket option pricing