Revisiting Semidefinite Programming Approaches to Options Pricing: Complexity and Computational Perspectives

DOI10.1287/ijoc.2022.1220arXiv2111.07701MaRDI QIDQ6203369

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Publication date: 28 February 2024

Published in: INFORMS Journal on Computing (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2111.07701

zbMATH Keywords

semidefinite programmingoptions pricingmoment-SOS hierarchy

Mathematics Subject Classification ID

Mathematical programming (90Cxx)

Related Items (1)

Tighter bounds on transient moments of stochastic chemical systems

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