Bounding Option Prices of Multi-Assets: A Semidefinite Programming Approach

• Main Authors: Han, Deren, Li, Xun, Sun, Defeng, Sun, Jie
• Other Authors: DEAN'S OFFICE (SSH SCH OF PUBLIC HEALTH)
• Format: Article
• Published: Yokohama Publishers, Inc 2021
• Online Access: https://scholarbank.nus.edu.sg/handle/10635/191981
• Institution: National University of Singapore

Pacific Journal of Optimization