Bounding option prices of multi-assets: a semidefinite programming approach (PJO)
Volume 1
Number 1
pp. 59-79

Bounding option prices of multi-assets: a semidefinite programming approach
Deren Han, Xun Li, Defeng Sun and Jie Sun

Key words Mathematices Subject Classification
bound of option price, semidefinite programming relaxation, the moment problem

90C22, 91B24
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