"Mixed-integer second-order cone programming for lower hedging of American ..."

Mustafa Ç. Pinar (2013)

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DOI: 10.1007/S11590-011-0394-Z

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type: Journal Article

metadata version: 2020-07-03

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Mustafa Ç. Pinar:
Mixed-integer second-order cone programming for lower hedging of American contingent claims in incomplete markets. Optim. Lett. 7(1): 63-78 (2013)

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