Pricing a class of exotic options via moments and SDP relaxations

Mathematical Finance

Volumn 16, Issue 3, 2006, Pages 469-494

  Lasserre, J B ^a   Prieto Rumeau, T ^b   Zervos, M ^c  

^a LAAS CNRS   (France)

^b UNIVERSIDAD NACIONAL DE EDUCACIÓN A DISTANCIA   (Spain)

^c KING'S COLLEGE LONDON   (United Kingdom)

Author keywords

Exotic options; Moments of measures; Options pricing; Semidefinite programming

Indexed keywords

EID: 33745011879     PISSN: 09601627     EISSN: 14679965     Source Type: Journal    
DOI: 10.1111/j.1467-9965.2006.00279.x     Document Type: Article

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