Computing lower bounds on basket option prices by discretizing semi-infinite linear programming
type: Item
instance of: scholarly article
title: Computing lower bounds on basket option prices by discretizing semi-infinite linear programming
zbMATH Open document ID: 1414.91366
author: H. Cho
author: Kyoung-Kuk Kim
author: Kyungsik Lee
published in: Optimization Letters
publication date: 2017-03-28T00:00:00Z
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 90C34
zbMATH DE Number: 6697595
zbMATH Keywords: basket option
zbMATH Keywords: linear programming
zbMATH Keywords: static-arbitrage bound
zbMATH Keywords: separation problem
MaRDI profile type: Publication
full work available at URL: s11590-015-0987-z
OpenAlex ID: W2266664172
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DOI: 10.1007/S11590-015-0987-Z
description: scientific article; zbMATH DE number 6697595