Mixed-integer second-order cone programming for lower hedging of American contingent claims in incomplete markets (Q1936793)
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scientific article; zbMATH DE number 6135047
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Mixed-integer second-order cone programming for lower hedging of American contingent claims in incomplete markets |
scientific article; zbMATH DE number 6135047 |
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Mixed-integer second-order cone programming for lower hedging of American contingent claims in incomplete markets (English)
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7 February 2013
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American options
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mixed-integer second-order cone optimization
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