"An efficient and provable sequential quadratic programming method for ..."

Jinye Shen, Weizhang Huang, Jingtang Ma (2024)

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DOI: 10.1016/J.EJOR.2023.11.012

access: open

type: Journal Article

metadata version: 2024-12-09

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  - journals/eor/ShenHM24
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  - https://dblp.org/rec/journals/eor/ShenHM24
Jinye Shen, Weizhang Huang, Jingtang Ma:
An efficient and provable sequential quadratic programming method for American and swing option pricing. Eur. J. Oper. Res. 316(1): 19-35 (2024)

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