LP valuation of exotic American options exploiting structure
Year of publication: |
1998
|
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Authors: | Dempster, Michael A. H. ; Hutton, J. P. ; Richards, Donald G. |
Published in: |
The journal of computational finance. - London : Infopro Digital Risk, ISSN 1460-1559, ZDB-ID 1433009-X. - Vol. 2.1998, 1, p. 61-84
|
Subject: | Optionspreistheorie | Option pricing theory | Mathematische Optimierung | Mathematical programming | Theorie | Theory |
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The journal of computational finance
(1998)
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