Using semi-infinite optimisation to calculate price bounds for basket options
The use of optimisation within financial markets is rapidly increasing. There is a growing demand for a class of new and improved methods to accurately price financial options. Semi-infinite optimisation (SIO) has become a vivid research area in mathematical optimisation during the recent two decade...
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University of Birmingham
2016
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| Online Access: | https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.690791 |