A method for pricing American options using semi-infinite linear programming
Year of publication: |
2014
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Authors: | Christensen, Sören |
Published in: |
Mathematical finance : an international journal of mathematics, statistics and financial theory. - Malden, Mass. [u.a] : Wiley-Blackwell, ISSN 0960-1627, ZDB-ID 1073194-5. - Vol. 24.2014, 1, p. 156-172
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Subject: | American options | optimal stopping | excessive functions | harmonic functions | upper bounds | semi-infinite linear programming | Suchtheorie | Search theory | Optionspreistheorie | Option pricing theory | Mathematische Optimierung | Mathematical programming | Optionsgeschäft | Option trading |
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