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Revisiting semidefinite programming approaches to options pricing: complexity and computational perspectives
[article]
2022
arXiv
pre-print
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
arXiv:2111.07701v3
fatcat:37j6m3jc5bddloimlulhgdot2u