Code and Data Repository for Revisiting Semidefinite Programming Approaches to Options Pricing: Complexity and Computational Perspectives
针对可观测期权价格，提出方法计算欧式篮子看涨期权可行价格范围的内外边界，通过半定规划层次（Lasserre层次）近似求解广义矩问题的最优测度。
Given observable option prices and their respective strikes on various assets {1, ... , n}, we present methods to obtain inner and outer bounds on the feasible range of prices for a European basket call option with given strike relying on the assets {1, ... ,n}. The weights of the basket can be chosen freely. This problem can be stated as a Generalized Moment Problem (GMP); an optimization problem over the space of probability measures. The code we present ought to approximate the optimal solution, i.e., the optimal measure for the GMP, by a hierarchy of semidefinite programs, known as the Lasserre hierarchy.