Pricing a class of exotic options via moments and SDP relaxations

We present a new methodology for the numerical pricing of a class of exotic derivatives such as Asian or barrier options when the underlying asset price dynamics are modelled by a geometric Brownian motion or a number of mean-reverting processes of interest. This methodology identifies derivative prices with infinite-dimensional linear programming problems involving the moments … Read more

SDP vs. LP relaxations for the moment approach in some performance evaluation problems

Given a Markov process we are interested in the numerical computation of the moments of the exit time from a bounded domain. We use a moment approach which, together with appropriate semidefinite positivity moment conditions, yields a sequence of semidefinite programs (or SDP relaxations), depending on the number of moments considered, that provide a sequence … Read more