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| Deren Han, Xun Li, Defeng Sun and Jie Sun | ||||||
| Key words: | bound of option price, semidefinite programming relaxation, the moment | |||||
| problem | ||||||
| Mathematices Subject Classification: 90C22, 91B24 | ||||||
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| Deren Han, Xun Li, Defeng Sun and Jie Sun | ||||||
| Key words: | bound of option price, semidefinite programming relaxation, the moment | |||||
| problem | ||||||
| Mathematices Subject Classification: 90C22, 91B24 | ||||||
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| Abstract: | |||||
| Recently, semidefinite programming has been used to bound the price of | |||||
| a single-asset European call option at a fixed time. Given the first n moments, a tight bound can be obtained by solving a single semidefinite programming problem of dimension n +1. In this paper, we study the multi-asset case, which is generally more practical than the single-asset case. We construct a sequence of semidefinite programming relaxations. As the dimension of the semidefinite relaxations increases, the bound becomes more accurate and converges to the tight bound. Some numerical results are reported to illustrate the method. | |||||
| Bounding option prices of multi-assets: a semidefinite programming approach | ||
| Special Issue in Honor of the 70th Birthday of R.Tyrrell Rockafellar | |||
| Volume 1, Number 1, January 2005, pp. 59-79 | |||