Computing lower bounds on basket option prices by discretizing semi-infinite linear programming
Crossref DOI link: https://doi.org/10.1007/s11590-015-0987-z
Published Online: 2015-12-19
Published Print: 2016-12
Update policy: https://doi.org/10.1007/springer_crossmark_policy
Cho, Hyunseok
Kim, Kyoung-Kuk
Lee, Kyungsik
Funding for this research was provided by:
National Research Foundation of Korea (KR) (NRF-2014R1A1A2054868)
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