SDP relaxation of arbitrage pricing bounds based on option prices and moments

DOI10.1007/s10957-009-9605-5zbMath1183.91180OpenAlexW2045044294MaRDI QIDQ848736

James A. Primbs

Publication date: 5 March 2010

Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10957-009-9605-5

zbMATH Keywords

momentssemidefinite programmingoption pricingarbitrage

Mathematics Subject Classification ID

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

Related Items (3)

A stochastic semidefinite programming approach for bounds on option pricing under regime switching ⋮ Computing arbitrage upper bounds on basket options in the presence of bid-ask spreads ⋮ Explicit hard bounding functions for boundary value problems for elliptic partial differential equations

Uses Software

• SeDuMi
• SeDuMi Interface

Cites Work

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• The Pricing of Options and Corporate Liabilities
• Global Optimization with Polynomials and the Problem of Moments
• Bounding Option Prices by Semidefinite Programming: A Cutting Plane Algorithm
• THE RANGE OF TRADED OPTION PRICES
• On the Relation Between Option and Stock Prices: A Convex Optimization Approach
• Generalized Chebychev Inequalities: Theory and Applications in Decision Analysis
• The truncated complex $K$-moment problem
• Optimal Inequalities in Probability Theory: A Convex Optimization Approach
• Option pricing when underlying stock returns are discontinuous
• PRICING A CLASS OF EXOTIC OPTIONS VIA MOMENTS AND SDP RELAXATIONS
• Sharp Upper and Lower Bounds for Basket Options

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