Bounds on some contingent claims with non-convex payoff based on multiple assets

نویسندگان

  • Dimitris Bertsimas
  • Xuan Vinh Doan
  • Karthik Natarajan
چکیده

We propose a copositive relaxation framework to calculate both upper and lower bounds for prices of some European options with non-convex payoffs when first and second moments of underlying assets are known. Computational results shows that these upper and lower bounds are reasonably good for call options on the minimum of multiple assets and put options on the maximum of multiple assets.

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تاریخ انتشار 2007