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Publication:2865856
zbMath1277.90165MaRDI QIDQ2865856
Luis F. Zuluaga, Xavier Saynac, Javier F. Peña, Juan Carlos Vera
Publication date: 11 December 2013
Full work available at URL: http://journals.hil.unb.ca/index.php/AOR/article/view/12576
Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.
option pricingrobust optimizationlarge scale optimizationsemiparametric boundsdantzig-Wolfe decomposition
Large-scale problems in mathematical programming (90C06) Applications of mathematical programming (90C90) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20)
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Exchangeability-type properties of asset prices ⋮ Computing arbitrage upper bounds on basket options in the presence of bid-ask spreads ⋮ Computing bounds on the expected payoff of Alternative Risk Transfer products ⋮ Computing lower bounds on basket option prices by discretizing semi-infinite linear programming
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