Bounding option prices of multi-assets: a semidefinite programming approach (PJO) |
![](epjo1210.gif) |
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 |
|
![](59.gif) |
|
Key words |
Mathematices Subject Classification |
bound of option price, semidefinite programming relaxation, the moment problem
|
90C22, 91B24 |
|
|
|
|
ONLINE SUBSCRIPTION |
|
|
|
Copyright© 2011 Yokohama Publishers |
|
|
|