| 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 |
|
|
|
|
| ONLINE SUBSCRIPTION |
|
|
|
| Copyright© 2011 Yokohama Publishers |
|
|
|