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  • Search: subject:"infinite linear programming"
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Year of publication
Subject
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semi-infinite linear programming 5 Mathematical programming 4 Mathematische Optimierung 4 American options 2 Black-Scholes model 2 Black-Scholes-Modell 2 General capacity problem 2 Option pricing theory 2 Option trading 2 Optionsgeschäft 2 Optionspreistheorie 2 Search theory 2 Subject Classifications. 90C08 2 Suchtheorie 2 Theorie 2 Theory 2 infinite linear programming 2 optimal stopping 2 strong duality 2 Arbitrage 1 Arbitrage Pricing 1 Arbitrage pricing 1 CAPM 1 Farkas-Minkowski systems 1 Fourier-Motzkin elimination 1 Martingal 1 Martingale 1 Portfolio selection 1 Portfolio-Management 1 Swap 1 arbitrage conditions 1 convex programming duality 1 duality 1 excessive functions 1 fundamental theorem of asset pricing 1 harmonic functions 1 locally polyhedral systems 1 model error 1 model-independent bounds 1 optimization methods for option pricing 1
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Online availability
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Undetermined 3 Free 1
Type of publication
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Article 6 Book / Working Paper 1
Type of publication (narrower categories)
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Article in journal 3 Aufsatz in Zeitschrift 3 Graue Literatur 1 Hochschulschrift 1 Non-commercial literature 1
Language
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English 4 Undetermined 3
Author
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Gabriel, J. Rigoberto 2 Hernández-Lerma, Onésimo 2 Basu, Amitabh 1 Christensen, Sören 1 Davis, Mark H. A. 1 Kallsen, Jan 1 Lenga, Matthias 1 Martin, Kipp 1 Obłój, Jan 1 Puente, Rubén 1 Raval, Vimal 1 Ryan, Christopher Thomas 1 Serio, Virginia Vera de 1
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Institution
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Christian-Albrechts-Universität zu Kiel 1
Published in...
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Mathematical finance : an international journal of mathematics, statistics and financial theory 2 Computational Statistics 1 Mathematical Methods of Operations Research 1 Mathematics of operations research 1 TOP: An Official Journal of the Spanish Society of Statistics and Operations Research 1
Source
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ECONIS (ZBW) 4 RePEc 3
Showing 1 - 7 of 7
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Representable options
Lenga, Matthias - 2017
Persistent link: https://www.econbiz.de/10012613284
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Projection : a unified approach to semi-infinite linear programs and duality in convex programming
Basu, Amitabh; Martin, Kipp; Ryan, Christopher Thomas - In: Mathematics of operations research 40 (2015) 1, pp. 146-170
Persistent link: https://www.econbiz.de/10010497626
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A method for pricing American options using semi-infinite linear programming
Christensen, Sören - In: Mathematical finance : an international journal of … 24 (2014) 1, pp. 156-172
Persistent link: https://www.econbiz.de/10010256174
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Arbitrage bounds for prices of weighted variance swaps
Davis, Mark H. A.; Obłój, Jan; Raval, Vimal - In: Mathematical finance : an international journal of … 24 (2014) 4, pp. 821-854
Persistent link: https://www.econbiz.de/10011308161
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Strong duality of the general capacity problem in metric spaces
Gabriel, J. Rigoberto; Hernández-Lerma, Onésimo - In: Mathematical Methods of Operations Research 53 (2001) 1, pp. 25-34
This paper concerns the general capacity (GC) problem on metric spaces. Conditions are given under which the strong duality condition holds, that is, GC and its dual GC<Superscript>*</Superscript> are both solvable and their optimal values coincide. Copyright Springer-Verlag Berlin Heidelberg 2001
Persistent link: https://www.econbiz.de/10010999562
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Strong duality of the general capacity problem in metric spaces
Gabriel, J. Rigoberto; Hernández-Lerma, Onésimo - In: Computational Statistics 53 (2001) 1, pp. 25-34
This paper concerns the general capacity (GC) problem on metric spaces. Conditions are given under which the strong duality condition holds, that is, GC and its dual GC * are both solvable and their optimal values coincide. Copyright Springer-Verlag Berlin Heidelberg 2001
Persistent link: https://www.econbiz.de/10010759159
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Locally Farkas-Minkowski linear inequality systems
Puente, Rubén; Serio, Virginia Vera de - In: TOP: An Official Journal of the Spanish Society of … 7 (1999) 1, pp. 103-121
Persistent link: https://www.econbiz.de/10005598322
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