IDEAS home Printed from https://ideas.repec.org/h/spr/sprchp/978-3-540-77958-2_6.html
   My bibliography  Save this book chapter

Semidefinite Programming Approaches for Bounding Asian Option Prices

In: Computational Methods in Financial Engineering

Author

Listed:
  • Georgios V. Dalakouras

    (University of Florida)

  • Roy H. Kwon

    (University of Toronto)

  • Panos M. Pardalos

    (University of Florida)

Abstract

Semidefinite programming (SDP) approaches are considered for obtaining bounds for the price of an arithmetic average Asian option. A method for computing the moments of the distribution of prices is developed which enables the method of Bertsimas and Popescu to be extended for the case of the Asian option. In particular, several SDP formulations for upper and lower bounds of the price of an Asian option are given based on different representations of the payoffs of the option. The formulations are amenable to standard SDP computational methods.

Suggested Citation

  • Georgios V. Dalakouras & Roy H. Kwon & Panos M. Pardalos, 2008. "Semidefinite Programming Approaches for Bounding Asian Option Prices," Springer Books, in: Erricos J. Kontoghiorghes & Berç Rustem & Peter Winker (ed.), Computational Methods in Financial Engineering, pages 103-116, Springer.
    • Handle: RePEc:spr:sprchp:978-3-540-77958-2_6
    DOI: 10.1007/978-3-540-77958-2_6
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Roy Kwon & Jonathan Li, 2016. "A stochastic semidefinite programming approach for bounds on option pricing under regime switching," Annals of Operations Research, Springer, vol. 237(1), pages 41-75, February.
    2. Roy H. Kwon & Jonathan Y. Li, 2016. "A stochastic semidefinite programming approach for bounds on option pricing under regime switching," Annals of Operations Research, Springer, vol. 237(1), pages 41-75, February.

    More about this item

    Keywords

    Asian options; semidefinite programming;

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:sprchp:978-3-540-77958-2_6. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.