Bounding Option Prices by Semidefinite Programming: A Cutting Plane Algorithm

DOI10.1287/mnsc.48.5.665.7801zbMath1232.91663OpenAlexW2152242686MaRDI QIDQ3114783

Jun-Ya Gotoh, Hiroshi Konno

Publication date: 19 February 2012

Published in: Management Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1287/mnsc.48.5.665.7801

zbMATH Keywords

semidefinite programmingbounds on option pricesplane algorithmproblem cutting

Mathematics Subject Classification ID

Semidefinite programming (90C22) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20)

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