A successive SDP-NSDP approach to a robust optimization problem in finance
| Year of publication: |
2009
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|---|---|
| Authors: | Leibfritz, F. ; Maruhn, J. |
| Published in: |
Computational Optimization and Applications. - Springer. - Vol. 44.2009, 3, p. 443-466
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| Publisher: |
Springer |
| Subject: | Robust optimization | Nonlinear semidefinite programming | Static hedging | Barrier options | Eigenvalue minimization |
| Extent: | text/html |
|---|---|
| Type of publication: | Article |
| Source: |
Persistent link: https://www.econbiz.de/10008502547