Academic Journal
Revisiting semidefinite programming approaches to options pricing: complexity and computational perspectives
| العنوان: | Revisiting semidefinite programming approaches to options pricing: complexity and computational perspectives |
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| المؤلفون: | Henrion, Didier, Kirschner, Felix, de Klerk, Etienne, Korda, Milan, Lasserre, Jean-Bernard, Magron, Victor |
| المساهمون: | Équipe Méthodes et Algorithmes en Commande (LAAS-MAC), Laboratoire d'analyse et d'architecture des systèmes (LAAS), Université Toulouse Capitole (UT Capitole), Université de Toulouse (UT)-Université de Toulouse (UT)-Institut National des Sciences Appliquées - Toulouse (INSA Toulouse), Institut National des Sciences Appliquées (INSA)-Université de Toulouse (UT)-Institut National des Sciences Appliquées (INSA)-Université Toulouse - Jean Jaurès (UT2J), Université de Toulouse (UT)-Université Toulouse III - Paul Sabatier (UT3), Université de Toulouse (UT)-Centre National de la Recherche Scientifique (CNRS)-Institut National Polytechnique (Toulouse) (Toulouse INP), Université de Toulouse (UT)-Université Toulouse Capitole (UT Capitole), Université de Toulouse (UT), Department of Econometrics and Operations Research (Tilburg University), Tilburg University Netherlands, Equipe Polynomial OPtimization (LAAS-POP), ANR-19-P3IA-0004,ANITI,Artificial and Natural Intelligence Toulouse Institute(2019), ANR-11-LABX-0040,CIMI,Centre International de Mathématiques et d'Informatique (de Toulouse)(2011), ANR-18-ERC2-0004,COPS,Optimisation garantie pour la vérification des systèmes cyber-physiques(2018), European Project: 813211,H2020-EU.1.3. - EXCELLENT SCIENCE - Marie Skłodowska-Curie Actions (Main Programme), H2020-EU.1.3.1. - Fostering new skills by means of excellent initial training of researchers ,10.3030/813211,POEMA(2019) |
| المصدر: | ISSN: 1091-9856. |
| بيانات النشر: | HAL CCSD Institute for Operations Research and the Management Sciences (INFORMS) |
| سنة النشر: | 2023 |
| المجموعة: | Université Toulouse III - Paul Sabatier: HAL-UPS |
| مصطلحات موضوعية: | Moment-SOS hierarchy, Options pricing, Semidefinite programming, [MATH.MATH-OC]Mathematics [math]/Optimization and Control [math.OC] |
| الوصف: | International audience ; In this paper we consider the problem of finding bounds on the prices of options depending on multiple assets without assuming any underlying model on the price dynamics, but only the absence of arbitrage opportunities. We formulate this as a generalized moment problem and utilize the well-known Moment-Sum-of-Squares (SOS) hierarchy of Lasserre to obtain bounds on the range of the possible prices. A complementary approach (also due to Lasserre) is employed for comparison. We present several numerical examples to demonstrate the viability of our approach. The framework we consider makes it possible to incorporate different kinds of observable data, such as moment information, as well as observable prices of options on the assets of interest. |
| نوع الوثيقة: | article in journal/newspaper |
| اللغة: | English |
| Relation: | info:eu-repo/semantics/altIdentifier/arxiv/2111.07701; info:eu-repo/grantAgreement//813211/EU/Polynomial Optimization, Efficiency through Moments and Algebra/POEMA; hal-03429272; https://hal.science/hal-03429272; https://hal.science/hal-03429272v2/document; https://hal.science/hal-03429272v2/file/options_rev_arxiv_submission.pdf; ARXIV: 2111.07701 |
| DOI: | 10.1287/ijoc.2022.1220 |
| الاتاحة: | https://hal.science/hal-03429272 https://hal.science/hal-03429272v2/document https://hal.science/hal-03429272v2/file/options_rev_arxiv_submission.pdf https://doi.org/10.1287/ijoc.2022.1220 |
| Rights: | info:eu-repo/semantics/OpenAccess |
| رقم الانضمام: | edsbas.82CCD6C6 |
| قاعدة البيانات: | BASE |
| DOI: | 10.1287/ijoc.2022.1220 |
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