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A parsimonious model for generating arbitrage-free scenario trees - MaRDI portal

A parsimonious model for generating arbitrage-free scenario trees (Q5001123)

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scientific article; zbMATH DE number 7372395
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A parsimonious model for generating arbitrage-free scenario trees
scientific article; zbMATH DE number 7372395

    Statements

    title
    A parsimonious model for generating arbitrage-free scenario trees (English)
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    author
    Andrea Consiglio
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    Angelo Carollo
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    Stavros A. Zenios
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    publication date
    16 July 2021
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    zbMATH Keywords
    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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    cites work
    Q3412547
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    Q5392482
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    Q4433608
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    Q5444109
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    Q5445734
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    Identifiers

    Mathematics Subject Classification ID
    91G20
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    93E20
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    90C15
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    zbMATH DE Number
    7372395
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    OpenAlex ID
    W2261184209
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