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

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+https://doi.org/10.1080/02331934.2011.619263
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+W2054709617
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@@ Property / cites work @@
+An interior semi-infinite programming method
@@ Property / cites work: An interior semi-infinite programming method / rank @@
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+An accelerated central cutting plane algorithm for linear semi-infinite programming
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+Static arbitrage bounds on basket option prices
@@ Property / cites work: Static arbitrage bounds on basket option prices / rank @@
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+The Adaptive Convexification Algorithm: A Feasible Point Method for Semi-Infinite Programming
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+Static-arbitrage optimal subreplicating strategies for basket options
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+Static-arbitrage upper bounds for the prices of basket options
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+Sharp Upper and Lower Bounds for Basket Options
@@ Property / cites work: Sharp Upper and Lower Bounds for Basket Options / rank @@
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+Static-arbitrage lower bounds on the prices of basket options via linear programming
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+Publication:3111142