Upper and lower bounds for convex value functions of derivative contracts
Hatem Ben-Ameur; Javier de Frutos; Tarek Fakhfakh; Vacaba Diaby
| Year of publication: |
2013
|
|---|---|
| Authors: | Ben-Ameur, Hatem ; Frutos, Javier de ; Fakhfakh, Tarek ; Diaby, Vacaba |
| Published in: |
Economic modelling. - Amsterdam [u.a.] : Elsevier, ISSN 0264-9993, ZDB-ID 86824-3. - Vol. 34.2013, p. 69-75
|
| Subject: | American options | Derivative contracts | Convex functions | Upper and lower bounds | Stochastic dynamic programming | Piecewise linear interpolations | Derivat | Derivative | Mathematische Optimierung | Mathematical programming | Dynamische Optimierung | Dynamic programming | Optionspreistheorie | Option pricing theory | Optionsgeschäft | Option trading | Stochastischer Prozess | Stochastic process |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Konferenzbeitrag ; Conference paper ; Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010360612