Bounding Option Prices by Semidefinite Programming: A Cutting Plane Algorithm
| Year of publication: |
2002
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|---|---|
| Authors: | Gotoh, Jun-ya ; Konno, Hiroshi |
| Published in: |
Management science : journal of the Institute for Operations Research and the Management Sciences. - Hanover, Md : INFORMS, ISSN 0025-1909, ZDB-ID 2063451. - Vol. 48.2002, 5, p. 665-678
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