Derivatives pricing - Spread options, Farkas's lemma and linear programming
| Year of publication: |
2011
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|---|---|
| Authors: | Piterbarg, Vladimir |
| Published in: |
Risk : managing risk in the world's financial markets. - London : Incisive Financial Publ, ISSN 0952-8776, ZDB-ID 10494753. - Vol. 24.2011, 8, p. 61-66
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