𝔖 Bobbio Scriptorium
✦   LIBER   ✦

A METHOD FOR PRICING AMERICAN OPTIONS USING SEMI-INFINITE LINEAR PROGRAMMING

✍ Scribed by Sören Christensen


Book ID
115226875
Publisher
John Wiley and Sons
Year
2012
Tongue
English
Weight
601 KB
Volume
24
Category
Article
ISSN
0960-1627

No coin nor oath required. For personal study only.


📜 SIMILAR VOLUMES


A globally convergent method for semi-in
✍ H. Hu 📂 Article 📅 1996 🏛 Springer US 🌐 English ⚖ 541 KB

This paper presents a globally convergent method for solving a general semi-infinite linear programming problem. Some important features of this method include: It can solve a semi-infinite linear program having an unbounded feasible region. It requires an inexact solution to a nonlinear subproblem

Complex Chebyshev approximation for FIR
✍ Kenji Suyama; Ken'ichi Takada; Ryuichi Hirabayashi; Hiroshi Iwakura 📂 Article 📅 2003 🏛 John Wiley and Sons 🌐 English ⚖ 922 KB

## Abstract In the optimum design of an FIR filter by the complex Chebyshev method, it is difficult to limit the increase of computational effort and to guarantee convergence to an optimum solution due to the nonlinearity of the problem and the instability of the frequency points for the optima. In