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A method for pricing American options using semi-infinite linear programming
Christensen, Sören - In: Mathematical finance : an international journal of … 24 (2014) 1, pp. 156-172
Persistent link: https://www.econbiz.de/10010256174
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Optimal consumption and investment for a large investor : an intensity-based control framework
Busch, Michael; Korn, Ralf; Seifried, Frank Thomas - In: Mathematical finance : an international journal of … 23 (2013) 4, pp. 687-717
Persistent link: https://www.econbiz.de/10010187678
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OPTIMAL CONSUMPTION AND INVESTMENT FOR A LARGE INVESTOR: AN INTENSITY‐BASED CONTROL FRAMEWORK
Busch, Michael; Korn, Ralf; Seifried, Frank Thomas - In: Mathematical finance : an international journal of … 23 (2013) 4, pp. 687-717
Persistent link: https://www.econbiz.de/10010161821