Computing lower bounds on basket option prices by discretizing semi-infinite linear programming

Hyunseok Cho, Kyoung-Kuk Kim, Kyungsik Lee. Computing lower bounds on basket option prices by discretizing semi-infinite linear programming. Optimization Letters, 10(8):1629-1644, 2016. [doi]

Authors

Hyunseok Cho

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Kyoung-Kuk Kim

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Kyungsik Lee

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