An algorithm for computing values of options on the maximum or minimum of several assets
Phelim P. Boyle and Y. K. Tse
| Year of publication: |
1990
|
|---|---|
| Authors: | Boyle, Phelim P. |
| Other Persons: | Tse, Yiu Kuen (contributor) |
| Published in: |
Journal of financial and quantitative analysis : JFQA. - New York, NY [u.a.] : Cambridge University Press, ISSN 0022-1090, ZDB-ID 219406-5. - Vol. 25.1990, 2, p. 215-227
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| Subject: | Clark algorithm | Derivat | Derivative | CAPM | Mathematische Optimierung | Mathematical programming | Theorie | Theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10001089783