Polynomial upper and lower bounds for financial derivative price functions under regime-switching
Year of publication: |
September 2018
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Authors: | Bhim, Louis ; Kawai, Reiichiro |
Published in: |
The journal of computational finance. - London : Infopro Digital Risk, ISSN 1460-1559, ZDB-ID 1433009-X. - Vol. 22.2018, 2, p. 35-71
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Subject: | Markov chain | regime-switching | derivative pricing | polynomial functions | exotic options | semidefinite programming | Derivat | Derivative | Markov-Kette | Optionspreistheorie | Option pricing theory | Mathematische Optimierung | Mathematical programming |
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