scientific article; zbMATH DE number 6289102

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zbMath1288.91185MaRDI QIDQ5412589

Xin Ji, Ying Dong

Publication date: 25 April 2014

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

penalty function self-financing BFGS algorithm combined option pricing

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20)

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