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PRICING A CLASS OF EXOTIC OPTIONS VIA MOMENTS AND SDP RELAXATIONS
8 references·2 citing·51 second hop
PRICING A CLASS OF EXOTIC OPTIONS VIA MOMENTS AND SDP RELAXATIONS (2006)PRICING A CLASS OF EXOTIC OPTIONS VIA MOM…On the Relation Between Option and Stock Prices: A Convex Optimization Approach (2002)On the Relation Between Optio…Fast narrow bounds on the value of Asian options (2002)Fast narrow bounds on the val…Asymptotically Optimal Importance Sampling and Stratification for Pricing Path‐Dependent Options (1999)Asymptotically Optimal Import…Existence of Markov Controls and Characterization of Optimal Markov Controls (1998)Existence of Markov Controls …Martingale Methods in Financial Modelling (1997)Martingale Methods in Financi…Bounds on contingent claims based on several assets (1997)Bounds on contingent claims b…The value of an Asian option (1995)The value of an Asian optionA Quick Algorithm for Pricing European Average Options (1991)A Quick Algorithm for Pricing…Distributionally Robust Optimization with Infinitely Constrained Ambiguity Sets (2019)Distributionally Robust Optim…Pricing exotic options with L-stable Padé schemes (2007)Pricing exotic options with L…Modelling Extremal Events (1997)Term Structure Dynamics in Theory and Reality (2003)Worst-Case Value-At-Risk and Robust Portfolio Optimization: A Conic Programming Approach (2003)Stochastic Integration and Differential Equations (2005)Financial distress and corporate risk management: Theory and evidence (2008)Numerical solution of stochastic differential equations (2016)Theory of Financial Decision Making. (1988)A pricing method for options based on average asset values (1990)BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES (1993)A new PDE approach for pricing arithmetic average Asian options (2001)The concept of comonotonicity in actuarial science and finance: applications (2002)Pricing and Hedging Spread Options (2003)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Robust numerical methods for PDE models of Asian options (1997)Far Field Boundary Conditions for Black--Scholes Equations (2000)A Highly Accurate Finite Element Method to Price Discrete Double Barrier Options (2013)Mimicking the one-dimensional marginal distributions of processes having an ito differential (1986)Compactification methods in the control of degenerate diffusions: existence of an optimal control (1987)Pathwise Stochastic Optimal Control (2007)Mean field games via controlled martingale problems: Existence of Markovian equilibria (2015)Limit Theory for Controlled McKean--Vlasov Dynamics (2017)The Pricing of Options and Corporate Liabilities (1973)Options on the minimum or the maximum of two risky assets (1982)Double barrier hitting time distributions with applications to exotic options (1998)Sharp Upper and Lower Bounds for Basket Options (2005)Theory of rational option pricing (2005)Managing a Portfolio of Real Options (2007)A Theory of the Term Structure of Interest Rates (1985)A Comparison of Three Methods for Selecting Values of Input Variables in the Analysis of Output from a Computer Code (2000)Variance Reduction Techniques for Estimating Value-at-Risk (2000)Chapter 11 Rare-Event Simulation Techniques: An Introduction and Recent Advances (2006)Rare events, splitting, and quasi-Monte Carlo (2007)The valuation of options for alternative stochastic processes (1976)Options: A Monte Carlo approach (1977)Efficient Procedures for Valuing European and American Path-Dependent Options (1993)Simulation and the Monte Carlo Method (2016)Martingales and arbitrage in multiperiod securities markets (1979)Implied Binomial Trees (1994)A Semidefinite Programming Approach to Optimal-Moment Bounds for Convex Classes of Distributions (2005)Tight Bounds for Some Risk Measures, with Applications to Robust Portfolio Selection (2011)Data-driven distributionally robust optimization using the Wasserstein metric: performance guarantees and tractable reformulations (2017)Pricing European average rate currency options (1992)Pricing continuously sampled Asian options with perturbation method (2003)Pricing guaranteed minimum withdrawal benefits under stochastic interest rates (2010)An Overview of Comonotonicity and Its Applications in Finance and Insurance (2011)Maxmin expected utility with non-unique prior (1989)The Price of Robustness (2004)Introduction to Stochastic Programming (2011)Robust Stochastic Models for Profit-Maximizing Hub Location Problems (2021)Chance-constrained optimization under limited distributional information: A review of reformulations based on sampling and distributional robustness (2022)Globalized Distributionally Robust Counterpart (2023)
this work references cited by second hop

References

  • 1997Martingale Methods in Financial Modelling1,085 cited
  • 1995The value of an Asian option532 cited
  • 1991A Quick Algorithm for Pricing European Average Options424 cited
  • 1999Asymptotically Optimal Importance Sampling and Stratification for Pricing Path‐Dependent Options219 cited
  • 2002On the Relation Between Option and Stock Prices: A Convex Optimization Approach203 cited
  • 1998Existence of Markov Controls and Characterization of Optimal Markov Controls147 cited
  • 2002Fast narrow bounds on the value of Asian options70 cited
  • 1997Bounds on contingent claims based on several assets65 cited

Cited by

  • 2019Distributionally Robust Optimization with Infinitely Constrained Ambiguity Sets68 cited
  • 2007Pricing exotic options with L-stable Padé schemes39 cited

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