Publication:2865856
From MaRDI portal
zbMath1277.90165MaRDI QIDQ2865856
Juan Carlos Vera, Luis F. Zuluaga, Javier F. Peña, Xavier Saynac
Publication date: 11 December 2013
Full work available at URL: http://journals.hil.unb.ca/index.php/AOR/article/view/12576
option pricing; robust optimization; large scale optimization; semiparametric bounds; dantzig-Wolfe decomposition
90C06: Large-scale problems in mathematical programming
90C90: Applications of mathematical programming
91G80: Financial applications of other theories
91G20: Derivative securities (option pricing, hedging, etc.)
