A novel feasible discretization method for linear semi-infinite programming applied to basket option pricing (Q3111142)
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scientific article; zbMATH DE number 5998493
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| English | A novel feasible discretization method for linear semi-infinite programming applied to basket option pricing |
scientific article; zbMATH DE number 5998493 |
Statements
A novel feasible discretization method for linear semi-infinite programming applied to basket option pricing (English)
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18 January 2012
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semi-infinite programming
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feasible discretization method
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basket options
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0.8266810774803162
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0.7360575795173645
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0.7327142953872681
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0.7251583337783813
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0.724816620349884
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