Pricing a class of exotic options via moments and SDP relaxations

  1. Lasserre, J.B.
  2. Prieto-Rumeau, T.
  3. Zervos, M.
Journal:
Mathematical Finance

ISSN: 0960-1627,  1467-9965

Year of publication: 2006

Volume: 16

Issue: 3

Pages: 469-494

Type: Article

DOI: 10.1111/J.1467-9965.2006.00279.X GOOGLE SCHOLAR
Data source: Scopus