An efficient and provable sequential quadratic programming method for American and swing option pricing
Jinye Shen, Weizhang Huang, Jingtang Ma
| Year of publication: |
2024
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|---|---|
| Authors: | Shen, Jinye ; Huang, Weizhang ; Ma, Jingtang |
| Published in: |
European journal of operational research : EJOR. - Amsterdam [u.a.] : Elsevier, ISSN 0377-2217, ZDB-ID 1501061-2. - Vol. 316.2024, 1 (1.7.), p. 19-35
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| Subject: | American option | Heston model | Jump diffusion | Quadratic programming | Swing option | Optionspreistheorie | Option pricing theory | Optionsgeschäft | Option trading | Mathematische Optimierung | Mathematical programming | Stochastischer Prozess | Stochastic process |
freely available
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ejor.2023.11.012 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014566281