Scenario Tree Generation and Multi-Asset Financial Optimization Problems
We compare two popular scenario tree generation methods in the context of financial optimization: Moment matching and scenario reduction. Using a simple problem with a known analytic solution, we find that moment matching - accompanied by a check to ensure absence of arbitrage opportunities - rep...
| Main Authors: | , , |
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| Format: | Others |
| Language: | en |
| Published: |
Elsevier
2013
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| Subjects: | |
| Online Access: | http://epub.wu.ac.at/4131/1/scenrednum25_SSRN.pdf http://dx.doi.org/10.1016/j.orl.2013.06.003 |