Computing general static-arbitrage bounds for European basket options via Dantzig-Wolfe decomposition (Q2865856)
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scientific article; zbMATH DE number 6237536
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| English | Computing general static-arbitrage bounds for European basket options via Dantzig-Wolfe decomposition |
scientific article; zbMATH DE number 6237536 |
Statements
11 December 2013
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option pricing
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robust optimization
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dantzig-Wolfe decomposition
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semiparametric bounds
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large scale optimization
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Computing general static-arbitrage bounds for European basket options via Dantzig-Wolfe decomposition (English)
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0.8831807971000671
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0.8699932098388672
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0.8594383001327515
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0.8495008945465088
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0.8353700637817383
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