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Search: subject:"semi-infinite linear programming"
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semi-infinite linear programming
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Mathematical programming
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Mathematische Optimierung
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American options
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Black-Scholes model
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model-independent bounds
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optimization methods for option pricing
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pathwise Itô calculus
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Basu, Amitabh
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Christian-Albrechts-Universität zu Kiel
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Mathematical finance : an international journal of mathematics, statistics and financial theory
2
Mathematics of operations research
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TOP: An Official Journal of the Spanish Society of Statistics and Operations Research
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ECONIS (ZBW)
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1
Representable options
Lenga, Matthias
-
2017
Persistent link: https://www.econbiz.de/10012613284
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2
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
Saved in:
3
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
Saved in:
4
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
Saved in:
5
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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