Computing lower bounds on basket option prices by discretizing semi-infinite linear programming (Q518129)
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scientific article; zbMATH DE number 6697595
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Computing lower bounds on basket option prices by discretizing semi-infinite linear programming |
scientific article; zbMATH DE number 6697595 |
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Computing lower bounds on basket option prices by discretizing semi-infinite linear programming (English)
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28 March 2017
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basket option
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linear programming
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static-arbitrage bound
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separation problem
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