Option pricing by mathematical programming† (Q5449021): Difference between revisions

@@ Property / author @@
-Q237331
@@ Property / author: Q237331 / rank @@
-Normal rank
@@ Property / author @@
+Sjur Didrik Flåm
@@ Property / author: Sjur Didrik Flåm / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / OpenAlex ID @@
+W1749316367
@@ Property / OpenAlex ID: W1749316367 / rank @@
+Normal rank
@@ Property / cites work @@
+Convergence of utility indifference prices to the superreplication price
+Normal rank
@@ Property / cites work @@
+Cash Stream Valuation In the Face of Transaction Costs and Taxes
+Normal rank
@@ Property / cites work @@
+Scenarios for multistage stochastic programs
@@ Property / cites work: Scenarios for multistage stochastic programs / rank @@
+Normal rank
@@ Property / cites work @@
+Maxmin expected utility with non-unique prior
@@ Property / cites work: Maxmin expected utility with non-unique prior / rank @@
+Normal rank
@@ Property / cites work @@
+Pricing American Options: A Duality Approach
@@ Property / cites work: Pricing American Options: A Duality Approach / rank @@
+Normal rank
@@ Property / cites work @@
+Duality and martingales: a stochastic programming perspective on contingent claims
+Normal rank
@@ Property / cites work @@
+On Bridging the Gap Between Stochastic Integer Programming and MIP Solver Technologies
+Normal rank
@@ Property / cites work @@
+Monte Carlo valuation of American options
@@ Property / cites work: Monte Carlo valuation of American options / rank @@
+Normal rank
@@ Property / cites work @@
+The Pricing of Options With an Uncertain Interest Rate: A Discrete‐Time Approach<sup>1</sup>
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:5449021