PRICING A CLASS OF EXOTIC OPTIONS VIA MOMENTS AND SDP RELAXATIONS

We present a new methodology for the numerical pricing of a class of exotic derivatives such as Asian or barrier options when the underlying asset price dynamics are modeled by a geometric Brownian motion or a number of mean‐reverting processes of interest. This methodology identifies derivative pri...

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Bibliographic Details
Published in:	Mathematical finance Vol. 16; no. 3; pp. 469 - 494
Main Authors:	Lasserre, J. B., Prieto-Rumeau, T., Zervos, M.
Format:	Journal Article
Language:	English
Published:	Malden, USA Blackwell Publishing Inc 01.07.2006 Wiley Blackwell Blackwell Publishing Ltd
Series:	Mathematical Finance
Subjects:	Appropriateness Asset valuation Brownian motion Convergence Derivatives exotic options Financial economics Linear programming Mathematical economics Mathematical models moments of measures Option pricing options pricing Options trading Prices semidefinite programming Sequences Statistical models Stochastic models Studies Asia Europe
ISSN:	0960-1627, 1467-9965
Online Access:	Get full text
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