A novel feasible discretization method for linear semi-infinite programming applied to basket option pricing (Q3111142): Difference between revisions

@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1080/02331934.2011.619263
+Normal rank
@@ Property / OpenAlex ID @@
+W2054709617
@@ Property / OpenAlex ID: W2054709617 / rank @@
+Normal rank
@@ Property / cites work @@
+An interior semi-infinite programming method
@@ Property / cites work: An interior semi-infinite programming method / rank @@
+Normal rank
@@ Property / cites work @@
+An accelerated central cutting plane algorithm for linear semi-infinite programming
+Normal rank
@@ Property / cites work @@
+Static arbitrage bounds on basket option prices
@@ Property / cites work: Static arbitrage bounds on basket option prices / rank @@
+Normal rank
@@ Property / cites work @@
+The Adaptive Convexification Algorithm: A Feasible Point Method for Semi-Infinite Programming
+Normal rank
@@ Property / cites work @@
+Static-arbitrage optimal subreplicating strategies for basket options
+Normal rank
@@ Property / cites work @@
+Static-arbitrage upper bounds for the prices of basket options
+Normal rank
@@ Property / cites work @@
+Sharp Upper and Lower Bounds for Basket Options
@@ Property / cites work: Sharp Upper and Lower Bounds for Basket Options / rank @@
+Normal rank
@@ Property / cites work @@
+Static-arbitrage lower bounds on the prices of basket options via linear programming
+Normal rank