"Revisiting Semidefinite Programming Approaches to Options Pricing: ..."

Didier Henrion et al. (2023)

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DOI: 10.1287/IJOC.2022.1220

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type: Journal Article

metadata version: 2024-08-04

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Didier Henrion, Felix Kirschner, Etienne de Klerk, Milan Korda, Jean-Bernard Lasserre, Victor Magron:
Revisiting Semidefinite Programming Approaches to Options Pricing: Complexity and Computational Perspectives. INFORMS J. Comput. 35(2): 335-349 (2023)

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