Semidefinite Programming Approaches for Bounding Asian Option Prices

Dalakouras, Georgios Vasileiou; Kwon, Roy H.; Pardalos, Pãnos M.

doi:10.1007/978-3-540-77958-2_6

Cited by 4 publications

(1 citation statement)

References 12 publications

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“…However, how to use the zero-level pricing method to deal with a general asset is still an open issue. Other programming approaches for option prices can be found in[7].…”

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confidence: 99%

Zero-level pricing method with transaction cost

Guu

Wang

2011

Optim Lett

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In this research, we extend Luenberger's (J Econ Dyn Contr 26(10), [1613][1614][1615][1616][1617][1618][1619][1620][1621][1622][1623][1624][1625][1626][1627][1628] 2002) results on zero-level pricing method to the market with transaction cost. We show that the zero-level price exists in this market. Both the zero-level pricing method and the no-arbitrage pricing method produce price intervals, but the zero-level price interval is smaller than the no-arbitrage price interval. Although the zero-level price interval in general depends on the utility function and initial wealth, we show the zero-level price interval is identical for all individuals with different levels of initial wealth and the HARA utility functions in which one parameter is fixed.

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“…However, how to use the zero-level pricing method to deal with a general asset is still an open issue. Other programming approaches for option prices can be found in[7].…”

mentioning

confidence: 99%