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
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📜 SIMILAR VOLUMES
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
## 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