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Search: subject:"gradient projection algorithm"
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Variance option
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gradient projection algorithm
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model-free price bound
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English
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Bonnans, J. Frederic
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Tan, Xiaolu
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A model-free no-arbitrage price bound for variance options
Bonnans, J. Frederic
;
Tan, Xiaolu
-
HAL
-
2013
computation on a bounded domain. Then we propose a
gradient
projection
algorithm
together with a finite difference scheme to …
Persistent link: https://www.econbiz.de/10010898722
Saved in:
2
A model-free no-arbitrage price bound for variance options
Bonnans, J. Frederic
;
Tan, Xiaolu
-
HAL
-
2011
computation on a bounded domain. Then we propose a
gradient
projection
algorithm
together with a finite difference scheme to …
Persistent link: https://www.econbiz.de/10009325715
Saved in:
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