Nonconvex optimization for pricing and hedging in imperfect markets

DOI10.1016/j.camwa.2006.08.009zbMath1133.91403OpenAlexW1964833263MaRDI QIDQ2426011

Silvia Mayoral, Alejandro Balbas

Publication date: 17 April 2008

Published in: Computers \& Mathematics with Applications (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10016/13024

zbMATH Keywords

sensitivityglobal optimizationbalance pointpseudoarbitragespread reduction

Mathematics Subject Classification ID

Multi-objective and goal programming (90C29)

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