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SUMMARY:Pricing a class of options via moments and SDP relaxations
DTSTART:20160314T110000
DTEND:20160314T120000
DTSTAMP:20260428T004633Z
UID:98c3925ad84517697d790da6d36db284d5eaa28e5d96b770affa69bf
CATEGORIES:Conferences - Seminars
DESCRIPTION:Mihail ZERVOS (LSE)\nWe present a methodology for the numerica
 l pricing of a class of derivatives such as Asian or barrier options when 
 the underlying asset price dynamics are modelled by a geometric Brownian m
 otion or a number of mean-reverting processes of interest. This methodolog
 y identifies derivative prices with infinite-dimensional linear programmin
 g problems involving the moments of appropriate measures\, and then develo
 ps suitable finite-dimensional relaxations that take the form of semi-defi
 nite programs (SDP) indexed by the number of moments involved. By maximisi
 ng or minimising appropriate criteria\, monotone sequences of both upper a
 nd lower bounds are obtained. Numerical investigation shows that very good
  results are obtained with only a small number of moments. Theoretical con
 vergence results are also established.
LOCATION:UNIL\, Extranef\, room 109 https://planete.unil.ch/plan/?local=EX
 T-109
STATUS:CONFIRMED
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