Variable neighbourhood search for financial derivative problem

DOI10.2298/YJOR180515016LzbMath1474.91197MaRDI QIDQ3388442

Nareyus I Lawrance Amaldass, Nenad Mladenović, Cormac Lucas

Publication date: 5 May 2021

Published in: Yugoslav Journal of Operations Research (Search for Journal in Brave)

zbMATH Keywords

metaheuristicsequityvariable neighborhood searchcontract for differencegoal programming problem

Mathematics Subject Classification ID

Multi-objective and goal programming (90C29) Approximation methods and heuristics in mathematical programming (90C59) Combinatorial optimization (90C27) Financial markets (91G15)

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Cites Work

• Multi-objective variable neighborhood search: an application to combinatorial optimization problems
• Bringing order into the neighborhoods: Relaxation guided variable neighborhood search
• Variable neighborhood search
• 0-1 quadratic knapsack problem solved with VNS algorithm

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