A moment approach to bounding exotic options under regime switching

DOI10.1080/02331934.2012.684796zbMath1259.91083OpenAlexW2018181850MaRDI QIDQ3145039

Michael Jong Kim, Roy H. Kwon, Jonathan Y. Li

Publication date: 13 December 2012

Published in: Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02331934.2012.684796

zbMATH Keywords

semidefinite programmingregime switchingexotic optionsmoment approach

Mathematics Subject Classification ID

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

Related Items

Iterative weak approximation and hard bounds for switching diffusion, SMOOTH UPPER BOUNDS FOR THE PRICE FUNCTION OF AMERICAN STYLE OPTIONS

Cites Work

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