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Option Pricing by Mathematical Programming

Flåm, Sjur (2007) In Working Papers, Department of Economics, Lund University
Please use this url to cite or link to this publication:
author
publishing date
type
Working Paper
publication status
published
subject
keywords
asset pricing, arbitrage, options, finite sample space, scenario tree, equivalent martingale measures, bid-ask intervals, incomplete market, linear programming, combinatorial optimization, totally unimodular matrices
in
Working Papers, Department of Economics, Lund University
issue
10
publisher
Department of Economics, Lund Universtiy
language
English
LU publication?
no
id
41f82a2e-e6ad-4f37-b418-dbb1197707a6 (old id 1387418)
alternative location
http://swopec.hhs.se/lunewp/abs/lunewp2007_010.htm
date added to LUP
2009-04-20 12:27:25
date last changed
2016-06-29 09:17:34
@misc{41f82a2e-e6ad-4f37-b418-dbb1197707a6,
  author       = {Flåm, Sjur},
  keyword      = {asset pricing,arbitrage,options,finite sample space,scenario tree,equivalent martingale measures,bid-ask intervals,incomplete market,linear programming,combinatorial optimization,totally unimodular matrices},
  language     = {eng},
  note         = {Working Paper},
  number       = {10},
  publisher    = {Department of Economics, Lund Universtiy},
  series       = {Working Papers, Department of Economics, Lund University},
  title        = {Option Pricing by Mathematical Programming},
  year         = {2007},
}