Revisiting Semidefinite Programming Approaches to Options Pricing: Complexity and Computational Perspectives
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DOI: 10.1287/ijoc.2022.1220
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References listed on IDEAS
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Cited by:
- Zhaolin Li & Artem Prokhorov, 2024. "Improved Semi-Parametric Bounds for Tail Probability and Expected Loss: Theory and Applications," Papers 2404.02400, arXiv.org, revised May 2024.
- Flemming Holtorf & Paul I. Barton, 2024. "Tighter Bounds on Transient Moments of Stochastic Chemical Systems," Journal of Optimization Theory and Applications, Springer, vol. 200(1), pages 104-149, January.
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Keywords
semidefinite programming; options pricing; moment-SOS hierarchy;All these keywords.
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