Duality theory and approximate dynamic programming for pricing American options and portfolio optimization
Martin B. Haugh; Leonid Kogan
| Year of publication: |
2008
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|---|---|
| Authors: | Haugh, Martin B. ; Kogan, Leonid |
| Published in: |
Financial engineering. - Amsterdam : Elsevier, ISBN 0-444-51781-2. - 2008, p. 925-948
|
| Subject: | Duales Optimierungsproblem | Dual optimization problem | Portfolio-Management | Portfolio selection | Optionspreistheorie | Option pricing theory | USA | United States |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz im Buch ; Book section |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10003567838