Mixed-integer second-order cone programming for lower hedging of American contingent claims in incomplete markets
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Publication:1936793
DOI10.1007/s11590-011-0394-zzbMath1261.90030OpenAlexW2084154329MaRDI QIDQ1936793
Publication date: 7 February 2013
Published in: Optimization Letters (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/11693/21130
Mixed integer programming (90C11) Auctions, bargaining, bidding and selling, and other market models (91B26)
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Uses Software
Cites Work
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