Revisiting Semidefinite Programming Approaches to Options Pricing: Complexity and Computational Perspectives

• Didier Henrion

  Didier Henrion

  [email protected]

  https://orcid.org/0000-0001-6735-7715

  Faculty of Electrical Engineering, Czech Technical University, 166 36 Prague 6, Czechia;Laboratory for Analysis and Architecture of Systems, French National Center for Scientific Research, 31400 Toulouse, France;

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• Felix Kirschner

  Corresponding Author

  Felix Kirschner

  [email protected]

  https://orcid.org/0000-0003-1771-0394

  Tilburg University, 5037 AB Tilburg, Netherlands

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• Etienne De Klerk

  Etienne De Klerk

  [email protected]

  https://orcid.org/0000-0003-3377-0063

  Tilburg University, 5037 AB Tilburg, Netherlands

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• Milan Korda

  Milan Korda

  [email protected]

  https://orcid.org/0000-0002-5755-8326

  Faculty of Electrical Engineering, Czech Technical University, 166 36 Prague 6, Czechia;Laboratory for Analysis and Architecture of Systems, French National Center for Scientific Research, 31400 Toulouse, France;

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• Jean-Bernard Lasserre

  Jean-Bernard Lasserre

  [email protected]

  https://orcid.org/0000-0003-0860-9913

  Laboratory for Analysis and Architecture of Systems, French National Center for Scientific Research, 31400 Toulouse, France;

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• Victor Magron

  Victor Magron

  [email protected]

  https://orcid.org/0000-0003-1147-3738

  Laboratory for Analysis and Architecture of Systems, French National Center for Scientific Research, 31400 Toulouse, France;

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