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Upper and lower bounds for convex value functions of derivative contracts
Ben-Ameur, Hatem
;
de Frutos, Javier
;
Fakhfakh, Tarek
; …
- In:
Economic Modelling
34
(
2013
)
C
,
pp. 69-75
approximated by selected
piecewise
linear
interpolations
at each decision date. The stochastic dynamic program does not (directly …
Persistent link: https://www.econbiz.de/10010709347
Saved in:
2
Upper and lower bounds for convex value functions of derivative contracts
Ben-Ameur, Hatem
;
Frutos, Javier de
;
Fakhfakh, Tarek
; …
- In:
Economic modelling
34
(
2013
),
pp. 69-75
Persistent link: https://www.econbiz.de/10010360612
Saved in:
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