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Robert J. Vanderbei, Mustafa Ç. Pinar. Pricing American Perpetual Warrants by Linear Programming. SIAM Review, 51(4):767-782, 2009. [doi]
Possibly Related PublicationsThe following publications are possibly variants of this publication: Expected gain-loss pricing and hedging of contingent claims in incomplete markets by linear programmingMustafa Ç. Pinar, Aslihan Salih, Ahmet Camci. eor, 201(3):770-785, 2010. [doi]
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