A parsimonious model for generating arbitrage-free scenario trees (Q5001123)
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scientific article; zbMATH DE number 7372395
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A parsimonious model for generating arbitrage-free scenario trees |
scientific article; zbMATH DE number 7372395 |
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A parsimonious model for generating arbitrage-free scenario trees (English)
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16 July 2021
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scenario trees
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global optimization
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convex lower bounding
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stochastic programming
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pricing in incomplete markets
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