Developing a multi-period robust optimization model considering American style options
Saeed Marzban, Masoud Mahootchi, Alireza Arshadi Khamseh
| Year of publication: |
2015
|
|---|---|
| Authors: | Marzban, Saeed ; Mahootchi, Masoud ; Khamseh, Alireza Arshadi |
| Published in: |
Mathematics in business management : [International Conference on Mathematics in Engineering and Business Management during 9 - 10 March 2012, Chennai, India]. - New York, NY : Springer. - 2015, p. 305-320
|
| Subject: | Optionspreistheorie | Option pricing theory | Mathematische Optimierung | Mathematical programming | Robustes Verfahren | Robust statistics |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Konferenzbeitrag ; Conference paper ; Aufsatz im Buch ; Book section |
| Language: | English |
| Other identifiers: | 10.1007/s10479-013-1461-x [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011488513