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subject:"programming"
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AUTOMATED OPTION PRICING: NUMERICAL METHODS
HENRY-LABORDÈRE, PIERRE
- In:
International Journal of Theoretical and Applied …
16
(
2013
)
08
,
pp. 1350042-1
-replication problem can be written as a semi-infinite linear
programing
problem. As these super-replication prices can be large and the …
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