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The decoupling approach to binomial pricing of multi-asset options

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Publication:3643086
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DOI10.21314/JCF.2009.207zbMath1173.91367MaRDI QIDQ3643086

Stefanie Müller, Ralf Korn

Publication date: 10 November 2009

Published in: The Journal of Computational Finance (Search for Journal in Brave)



Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24)


Related Items (8)

Time Consistency of the Mean-Risk Problem ⋮ American and Bermudan options in currency markets with proportional transaction costs ⋮ A recursive algorithm for multivariate risk measures and a set-valued Bellman's principle ⋮ Set-valued average value at risk and its computation ⋮ AMERICAN OPTIONS WITH GRADUAL EXERCISE UNDER PROPORTIONAL TRANSACTION COSTS ⋮ Linear Vector Optimization and European Option Pricing Under Proportional Transaction Costs ⋮ Benson type algorithms for linear vector optimization and applications ⋮ AN ALGORITHM FOR CALCULATING THE SET OF SUPERHEDGING PORTFOLIOS IN MARKETS WITH TRANSACTION COSTS




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