Revisiting semidefinite programming approaches to options pricing : complexity and computational perspectives
Didier Henrion, Felix Kirschner, Etienne De Klerk, Milan Korda, Jean-Bernard Lasserre, Victor Magron
| Year of publication: |
2023
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|---|---|
| Authors: | Henrion, Didier ; Kirschner, Felix ; Klerk, Etienne de ; Korda, Milan ; Lasserre, Jean-Bernard ; Magron, Victor |
| Published in: |
INFORMS journal on computing : JOC ; charting new directions in operations research and computer science ; a journal of the Institute for Operations Research and the Management Sciences. - Linthicum, Md. : INFORMS, ISSN 1526-5528, ZDB-ID 2004082-9. - Vol. 35.2023, 2, p. 335-349
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| Subject: | moment-SOS hierarchy | options pricing | semidefinite programming | Optionspreistheorie | Option pricing theory | Mathematische Optimierung | Mathematical programming |
freely available
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1287/ijoc.2022.1220 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014327623