PRICING A CLASS OF EXOTIC OPTIONS VIA MOMENTS AND SDP RELAXATIONS

DOI10.1111/j.1467-9965.2006.00279.xzbMath1133.91428OpenAlexW2134489088MaRDI QIDQ5455259

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Publication date: 3 April 2008

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9965.2006.00279.x

Mathematics Subject Classification ID

Related Items (19)

Inference Problems Involving Moment Determinacy of Distributions ⋮ On distributional robust probability functions and their computations ⋮ SDP relaxation of arbitrage pricing bounds based on option prices and moments ⋮ Bounding Stationary Averages of Polynomial Diffusions via Semidefinite Programming ⋮ Analysis of transient queues with semidefinite optimization ⋮ Tighter bounds on transient moments of stochastic chemical systems ⋮ Numerical evaluation of dynamic behavior of Ornstein-Uhlenbeck processes modified by various boundaries and its application to pricing barrier options ⋮ An optimization approach to weak approximation of stochastic differential equations with jumps ⋮ The truncated Stieltjes moment problem solved by using kernel density functions ⋮ Distributionally Robust Optimization with Infinitely Constrained Ambiguity Sets ⋮ Sum-of-squares for bounded rationality ⋮ Bounding contingent claim prices via hedging strategy with coherent risk measures ⋮ No arbitrage conditions for simple trading strategies ⋮ A Weak Approximation of Stochastic Differential Equations with Jumps Through Tempered Polynomial Optimization ⋮ A semidefinite programming approach to the generalized problem of moments ⋮ Pricing of proactive hedging European option with dynamic discrete position strategy ⋮ GpoSolver: a Matlab/C++ toolbox for global polynomial optimization ⋮ Semi-algebraic approximation using Christoffel-Darboux kernel ⋮ A moment approach to bounding exotic options under regime switching

Uses Software

• SeDuMi
• GloptiPoly

Cites Work

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• Qualitative behavior of geostochastic systems
• Krein condition in probabilistic moment problems
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• A LINEAR PROGRAMMING APPROACH TO THE STEADY-STATE ANALYSIS OF REFLECTED BROWNIAN MOTION
• Asymptotically Optimal Importance Sampling and Stratification for Pricing Path-Dependent Options
• Bounding Option Prices by Semidefinite Programming: A Cutting Plane Algorithm
• SDP vs. LP Relaxations for the Moment Approach in Some Performance Evaluation Problems
• Computing Moments of the Exit Time Distribution for Markov Processes by Linear Programming
• On the Relation Between Option and Stock Prices: A Convex Optimization Approach
• Existence of Markov Controls and Characterization of Optimal Markov Controls
• Stieltjes classes for moment-indeterminate probability distributions
• The value of an Asian option
• Semidefinite Programming
• GloptiPoly
• A Conic Programming Approach to Generalized Tchebycheff Inequalities

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