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linear programming
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Bounding Option Prices Using SDP With
Change
Of
Numeraire
Ye, Kai
;
Parpas, Panos
;
Rustem, Berc
-
COMISEF
-
2009
. We propose to employ the technique of
change
of
numeraire
when using SDP to bound the European type of options. In fact …
Persistent link: https://www.econbiz.de/10008491704
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