Non-Parametric American Option Valuation Using Cressie-Read Divergences

Alcock, Jamie; Smith, Godfrey

doi:10.2139/ssrn.2714888

Search citation statements

Order By: Relevance

Paper Sections

Select...

Existing Streams Of Portfolio Optimization and Option Pricing1

Citation Types

Supporting

Mentioning

Contrasting

Year Published

2019

Publication Types

Select...

Article1

Relationship

Self Cite0

Independent1

Authors

Journals

Cited by 1 publication

(1 citation statement)

References 16 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…An area of further research interest would be comparing SDP with other approaches. For example, the efficiency of Alcock and Smith's (2017) unique non-parametric approach to value American options using Cressie-Read divergences, could be compared to an SDP solution.…”

Section: Existing Streams Of Portfolio Optimization and Option Pricingmentioning

confidence: 99%

Financial applications of semidefinite programming: a review and call for interdisciplinary research

Gepp

Harris

Vanstone

2019

Accounting & Finance

View full text Add to dashboard Cite

Optimisation problems in finance commonly have non‐linear constraints for which previous solutions have required unrealistic assumptions. However, many of these can be efficiently solved as semidefinite programming (SDP) problems, which have less restrictive assumptions. Through review of the literature that uses SDP in finance, two major research streams are identified: portfolio optimisation and option pricing. Nevertheless, many finance researchers are unaware of SDP. One possible reason is that this research is often published in non‐finance journals. This paper aims to better integrate the SDP research to promote wider use of current findings and further interdisciplinary research, particularly in environmental finance.

show abstract

Section: Existing Streams Of Portfolio Optimization and Option Pricingmentioning

confidence: 99%