A METHOD FOR PRICING AMERICAN OPTIONS USING SEMI-INFINITE LINEAR PROGRAMMING
نویسندگان
چکیده
منابع مشابه
Pricing of American Lookback Options Using Linear Programming
Pricing of American lookback options using linear programming
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ژورنال
عنوان ژورنال: Mathematical Finance
سال: 2012
ISSN: 0960-1627
DOI: 10.1111/j.1467-9965.2012.00523.x