A successive SDP-NSDP approach to a robust optimization problem in finance (Q2655406)
From MaRDI portal
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | A successive SDP-NSDP approach to a robust optimization problem in finance |
scientific article |
Statements
A successive SDP-NSDP approach to a robust optimization problem in finance (English)
0 references
25 January 2010
0 references
static hedging
0 references
barrier options
0 references
eigenvalue minimization
0 references