A METHOD FOR PRICING AMERICAN OPTIONS USING SEMI‐INFINITE LINEAR PROGRAMMING (Q5411398): Difference between revisions
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scientific article; zbMATH DE number 6287497
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A METHOD FOR PRICING AMERICAN OPTIONS USING SEMI‐INFINITE LINEAR PROGRAMMING |
scientific article; zbMATH DE number 6287497 |
Statements
A METHOD FOR PRICING AMERICAN OPTIONS USING SEMI‐INFINITE LINEAR PROGRAMMING (English)
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23 April 2014
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American options
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optimal stopping
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excessive functions
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harmonic functions
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upper bounds
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semi-infinite linear programming
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