Computing lower bounds on basket option prices by discretizing semi-infinite linear programming (Q518129)
From MaRDI portal
!
This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use the normal view instead:
scientific article; zbMATH DE number 6697595
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Computing lower bounds on basket option prices by discretizing semi-infinite linear programming |
scientific article; zbMATH DE number 6697595 |
Statements
Computing lower bounds on basket option prices by discretizing semi-infinite linear programming (English)
0 references
28 March 2017
0 references
basket option
0 references
linear programming
0 references
static-arbitrage bound
0 references
separation problem
0 references
0 references
0 references
0.9134519696235656
0 references
0.8901092410087585
0 references
0.86081463098526
0 references
0.8592225313186646
0 references
