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"Computing general static-arbitrage bounds for European basket options via ..."

Javier Peña et al. (2010)

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DOI: —

access: open

type: Journal Article

metadata version: 2021-06-29

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  dblp key:
  - journals/aor/PenaSVZ10
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  - https://dblp.org/rec/journals/aor/PenaSVZ10
Javier Peña, Xavier Saynac, Juan Carlos Vera, Luis Fernando Zuluaga:
Computing general static-arbitrage bounds for European basket options via Dantzig-Wolfe decomposition. Algorithmic Oper. Res. 5(2): 65-74 (2010)

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