Advanced search
Publication Cover
Optimization
A Journal of Mathematical Programming and Operations Research
Volume 60, 2011 - Issue 10-11: 23rd European Conference on Operational Research in Bonn, July 5 - 8, 2009 - Guest Eds: Erik Kropat and Gerhard-Wilhelm Weber
Submit an article Journal homepage
192
Views
21
CrossRef citations to date
0
Altmetric
Original Articles

A novel feasible discretization method for linear semi-infinite programming applied to basket option pricing

Sebastian Daum Faculty of Informatics, Università della Svizzera italiana, Via Guiseppe Buffi 13, CH-6904 Lugano, Switzerland
&
Ralf Werner Hochschule München, Fakultät für Informatik und Mathematik, Lothstr. 64, 80335 München, GermanyCorrespondence[email protected]
Pages 1379-1398 | Received 01 Sep 2009, Accepted 29 Aug 2011, Published online: 04 Oct 2011

References

  • Asic , MD and Kovacevic-Vuijcic , VV . 1988 . An interior semi-infinite programming method . J. Optim. Theory Appl. , 59 : 353 – 367 .
  • Betrò , B . 2004 . An accelerated central cutting plane algorithm for linear semi-infinite programming . Math. Progr. , 101 : 479 – 495 .
  • Continuous Optimization in Finance, Special Issue of Optimization, Vol. 58, Issue 3, 2009
  • d'Aspremont , A and El Ghaoui , L . 2006 . Static arbitrage bounds on basket option prices . Math. Progr. , 106 : 467 – 489 .
  • Floudas , CA and Stein , O . 2007 . The adaptive convexification algorithm: A feasible point method for semi-infinite programming . SIAM J. Optim. , 18 : 1187 – 1208 .
  • Föllmer , H and Schied , A . Stochastic Finance – An Introduction in Discrete Time . de Gruyter Studies in Mathematics, de Gruyter, Berlin, 2004 ,
  • Goberna , MA and López , MA . 1998 . Linear Semi-infinite Optimization , Chichester : John Wiley & Sons .
  • Goberna , MA and López , MA . 2001 . Semi-infinite Programming: Recent Advances , Dordrecht : Kluwer .
  • Haug , EG . 2007 . The Complete Guide to Option Pricing Formulas , New York : McGraw-Hill .
  • Hobson , D , Laurence , P and Wang , TH . 2005 . Static arbitrage optimal subreplicating strategies for basket options . Insurance Math. Econ. , 37 : 553 – 572 .
  • Hobson , D , Laurence , P and Wang , TH . 2005 . Static arbitrage upper bounds for the prices of basket options . Quantitative Finance , 5 : 329 – 342 .
  • Laurence , P and Wang , TH . 2005 . Sharp upper and lower bounds for basket options . Appl. Math. Finance , 12 : 253 – 282 .
  • Peña , J , Saynac , X , Vera , JC and Zuluaga , LF . 2010 . Computing general static-arbitrage bounds for European basket options via Dantzig-Wolfe decomposition . Algorithmic Oper. Res. , 5 : 65 – 74 .
  • Peña , J , Vera , JC and Zuluaga , LF . 2006 . Static-arbitrage bounds on the prices of basket options via linear programming , Tepper School of Business, Paper 355 .
  • Peña , J , Vera , JC and Zuluaga , LF . 2010 . Static-arbitrage lower bounds on the prices of basket options via linear programming . Quantitative Finance , 10 : 819 – 827 .
  • Reemtsen , R and Görner , S . 1998 . Numerical Methods for Semi-infinite Programming: A Survey Kluwer, Dordretcht
  • Reemtsen , R and Rückmann , J-J . 1998 . Semi-Infinite Programming , Dortrecht : Kluwer Academic Publishers .

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Order Reprints Request Corporate Permissions

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

Request Academic Permissions

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.

Related research

People also read lists articles that other readers of this article have read.

Recommended articles lists articles that we recommend and is powered by our AI driven recommendation engine.

Cited by lists all citing articles based on Crossref citations.
Articles with the Crossref icon will open in a new tab.