Duality theory and approximate dynamic programming for pricing American options and portfolio optimization
Year of publication: |
2008
|
---|---|
Authors: | Haugh, Martin B. ; Kogan, Leonid |
Published in: |
Financial engineering. - Amsterdam : Elsevier, ISBN 0-444-51781-2. - 2008, p. 925-948
|
Subject: | Duales Optimierungsproblem | Dual optimization problem | Portfolio-Management | Portfolio selection | Optionspreistheorie | Option pricing theory | USA | United States |
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