Recursive Algorithms for Stock Liquidation: A Stochastic Optimization Approach
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Publication:4785879
DOI10.1137/S1052623401392901zbMath1021.91022MaRDI QIDQ4785879
Ruihua Liu, Qing Zhang, G. George Yin
Publication date: 5 January 2003
Published in: SIAM Journal on Optimization (Search for Journal in Brave)
Numerical methods (including Monte Carlo methods) (91G60) Stochastic programming (90C15) Derivative securities (option pricing, hedging, etc.) (91G20)
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