Pricing American Stock Options by Linear Programming (Q2757302): Difference between revisions
From MaRDI portal
Set profile property. |
Set OpenAlex properties. |
||
| Property / full work available at URL | |||
| Property / full work available at URL: https://doi.org/10.1111/1467-9965.00069 / rank | |||
Normal rank | |||
| Property / OpenAlex ID | |||
| Property / OpenAlex ID: W3123480036 / rank | |||
Normal rank | |||
Latest revision as of 20:52, 19 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Pricing American Stock Options by Linear Programming |
scientific article |
Statements
Pricing American Stock Options by Linear Programming (English)
0 references
26 November 2001
0 references
american options
0 references
lookback options
0 references
parabolic PDE's
0 references
linear order complementarity
0 references
least elements
0 references
linear programming
0 references
simplex method
0 references
interior point method
0 references
PSOR
0 references
