Bounding Option Prices by Semidefinite Programming: A Cutting Plane Algorithm
改进了Bertsimas和Popescu的方法，通过半定规划计算欧式看涨期权价格的紧上下界，并采用切割平面算法在矩阶数小于6或7时快速求解。
In a recent article, Bertsimas and Popescu showed that a tight upper bound on a Europeantype call option price, given the first n moments of the distribution of the underlying security price, can be obtained by solving an associated semidefinite programming problem (SDP). The purpose of this paper is to improve and extend their results. We will show that a tight lower bound can be calculated by solving another SDP. Also, we will show that these problems can be solved very quickly by a newly developed cutting plane algorithm when n is less than six or seven.