Semidefinite Programming Approaches for Bounding Asian Option Prices
暂无分享,去创建一个
[1] L. Rogers,et al. The value of an Asian option , 1995, Journal of Applied Probability.
[2] J. Hull. Options, Futures, and Other Derivatives , 1989 .
[3] P. Glasserman,et al. Asymptotically Optimal Importance Sampling and Stratification for Pricing Path‐Dependent Options , 1999 .
[4] K. Isii. On sharpness of tchebycheff-type inequalities , 1962 .
[5] Hiroshi Konno,et al. Bounding Option Prices by Semidefinite Programming: A Cutting Plane Algorithm , 2002, Manag. Sci..
[6] T Talaky,et al. Interior Point Methods of Mathematical Programming , 1997 .
[7] Panos M. Pardalos,et al. Topics in Semidefinite and Interior-Point Methods , 1998 .
[8] Stephen P. Boyd,et al. Semidefinite Programming , 1996, SIAM Rev..
[9] D. Dufresne. Weak convergence of random growth processes with applications to insurance , 1989 .
[10] Ioana Popescu,et al. On the Relation Between Option and Stock Prices: A Convex Optimization Approach , 2002, Oper. Res..
[11] M. Yor,et al. BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES , 1993 .
[12] S. Turnbull,et al. A Quick Algorithm for Pricing European Average Options , 1991, Journal of Financial and Quantitative Analysis.
[13] F. Black,et al. The Pricing of Options and Corporate Liabilities , 1973, Journal of Political Economy.