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math.OC2021
Revisiting semidefinite programming approaches to options pricing: complexity and computational perspectives
Didier Henrion, Felix Kirschner, Etienne de Klerk +3
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…
math.OC2021
Convergence rates of RLT and Lasserre-type hierarchies for the generalized moment problem over the simplex and the sphere
Felix Kirschner, Etienne de Klerk
We consider the generalized moment problem (GMP) over the simplex and the sphere. This is a rich setting and it contains NP-hard problems as special cases, like constructing optima…