A stochastic semidefinite programming approach for bounds on option pricing under regime switching

2014 ◽  
Vol 237 (1-2) ◽  
pp. 41-75 ◽  
Author(s):  
Roy H. Kwon ◽  
Jonathan Y. Li
Keyword(s):  
Option Pricing ◽  
Semidefinite Programming ◽  
Regime Switching ◽  
Programming Approach ◽  
Stochastic Semidefinite Programming

A RECOMBINING TREE METHOD FOR OPTION PRICING WITH STATE-DEPENDENT SWITCHING RATES

2016 ◽  
Vol 19 (02) ◽  
pp. 1650012 ◽  
Author(s):  
J. X. JIANG ◽  
R. H. LIU ◽  
D. NGUYEN
Keyword(s):  
Option Pricing ◽  
Regime Switching ◽  
Asset Price ◽  
Numerical Results ◽  
Price Process ◽  
State Dependent ◽  
Switching Models ◽  
Markovian Regime Switching ◽  
Tree Method ◽  
Markovian Regime

This paper develops simple and efficient tree approaches for option pricing in switching jump diffusion models where the rates of switching are assumed to depend on the underlying asset price process. The models generalize many existing models in the literature and in particular, the Markovian regime-switching models with jumps. The proposed trees grow linearly as the number of tree steps increases. Conditions on the choices of key parameters for the tree design are provided that guarantee the positivity of branch probabilities. Numerical results are provided and compared with results reported in the literature for the Markovian regime-switching cases. The reported numerical results for the state-dependent switching models are new and can be used for comparison in the future.

scholarly journals Semidefinite Programming Approach to Gaussian Sequential Rate-Distortion Trade-Offs

2017 ◽  
Vol 62 (4) ◽  
pp. 1896-1910 ◽  
Author(s):  
Takashi Tanaka ◽  
Kwang-Ki K. Kim ◽  
Pablo A. Parrilo ◽  
Sanjoy K. Mitter
Keyword(s):  
Semidefinite Programming ◽  
Rate Distortion ◽  
Programming Approach ◽  
Trade Offs

scholarly journals A multi-period risk sharing supply chain contract under consideration of price and demand uncertainties

2021 ◽  
Author(s):  
Isil Tari
Keyword(s):  
Exchange Rate ◽  
Regime Switching ◽  
Risk Sharing ◽  
Market Price ◽  
Sensitivity Analyses ◽  
Programming Approach ◽  
Random Demand ◽  
Supply Contract ◽  
Dynamic Programming Approach ◽  
Markovian Regime Switching

Exchange rate is extremely volatile and displays a Markovian regime switching property. This report proposes a multi-period procurement problem with a flexible quantity risk-sharing supply contract that may provide a prevention against exchange rate (FX) fluctuations for international traders. The buyer assumed to be encountered with a random price modelled by a regime-switching geometric Brownian motion and also random demand. The proposed risk sharing supply contract model helps to compensate supplier for the depreciating market price and also helps buyer when purchase price increases. According to the author’s knowledge, none of the studies in the literature considers a risk-sharing supply contract with random demand and random price while modelling the exchange rates by regime switching approach. Multi-period lattice model is developed for valuation of risk-sharing supply contract. The problem is solved with using dynamic programming approach. A numerical example and sensitivity analyses are presented to illustrate the proposed model.

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