A stochastic semidefinite programming approach for bounds on option pricing under regime switching.
Roy H. KwonJonathan Y. LiPublished in: Ann. Oper. Res. (2016)
Keyphrases
- semidefinite programming
- option pricing
- linear programming
- stock price
- decision analysis
- kernel matrix
- upper bound
- lower bound
- real option
- black scholes model
- maximum margin
- primal dual
- data mining
- worst case
- influence diagrams
- graphical models
- stochastic process
- supervised learning
- dynamic programming
- learning algorithm
- neural network