Option pricing by mathematical programming
Year of publication: |
2007-07-10
|
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Authors: | Flåm, Sjur Didrik |
Institutions: | Institutt for Økonomi, Universitetet i Bergen |
Subject: | asset pricing | arbitrage | options | finite sample space | scenario tree | equivalent martingale measures | bid-ask intervals | incomplete market | linear programming | combinatorial optimization | totally unimodular matrices |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | The text is part of a series Working Papers in Economics Number 08/07 20 pages |
Classification: | C61 - Optimization Techniques; Programming Models; Dynamic Analysis ; C62 - Existence and Stability Conditions of Equilibrium |
Source: |
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Option Pricing by Mathematical Programming
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Option Pricing by Mathematical Programming
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