SDP relaxation of arbitrage pricing bounds based on option prices and moments
type: Item
instance of: scholarly article
title: SDP relaxation of arbitrage pricing bounds based on option prices and moments
zbMATH Open document ID: 1183.91180
published in: Journal of Optimization Theory and Applications
publication date: 2010-03-05T00:00:00Z
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 90C22
zbMATH DE Number: 5677807
zbMATH Keywords: option pricing
zbMATH Keywords: semidefinite programming
zbMATH Keywords: arbitrage
zbMATH Keywords: moments
author: James A. Primbs
describes a project that uses: SeDuMi
describes a project that uses: SeDuMi Interface
MaRDI profile type: Publication
full work available at URL: s10957-009-9605-5
OpenAlex ID: W2045044294
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DOI: 10.1007/S10957-009-9605-5
description: scientific article; zbMATH DE number 5677807