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Optimization
A Journal of Mathematical Programming and Operations Research
Volume 60, 2011 - Issue 10-11: 23rd European Conference on Operational Research in Bonn, July 5 - 8, 2009 - Guest Eds: Erik Kropat and Gerhard-Wilhelm Weber
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Original Articles

A novel feasible discretization method for linear semi-infinite programming applied to basket option pricing

Sebastian Daum Faculty of Informatics, Università della Svizzera italiana, Via Guiseppe Buffi 13, CH-6904 Lugano, Switzerland
&
Ralf Werner Hochschule München, Fakultät für Informatik und Mathematik, Lothstr. 64, 80335 München, GermanyCorrespondence[email protected]
Pages 1379-1398 | Received 01 Sep 2009, Accepted 29 Aug 2011, Published online: 04 Oct 2011

Citations (21)

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Jonathan Y. Li, Michael Jong Kim & Roy H. Kwon. (2012) A moment approach to bounding exotic options under regime switching. Optimization 61:10, pages 1253-1269.
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Articles from other publishers (20)

Liangyu Zhang, Yang Peng, Wenhao Yang & Zhihua Zhang. (2024) Semi-Infinitely Constrained Markov Decision Processes and Provably Efficient Reinforcement Learning. IEEE Transactions on Pattern Analysis and Machine Intelligence 46:5, pages 3722-3735.
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Ariel Neufeld, Antonis Papapantoleon & Qikun Xiang. (2023) Model-Free Bounds for Multi-Asset Options Using Option-Implied Information and Their Exact Computation. Management Science 69:4, pages 2051-2068.
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N. Dinh, D. H. Long & J.-C. Yao. (2020) Duality for Robust Linear Infinite Programming Problems Revisited. Vietnam Journal of Mathematics 48:3, pages 589-613.
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M. A. Goberna & M. A. López. (2018) Recent contributions to linear semi-infinite optimization: an update. Annals of Operations Research 271:1, pages 237-278.
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Daniel Krause, Matthias Scherer, Jonas Schwinn & Ralf Werner. (2018) Membership testing for Bernoulli and tail-dependence matrices. Journal of Multivariate Analysis 168, pages 240-260.
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M. A. Goberna & M. A. López. (2017) Recent contributions to linear semi-infinite optimization. 4OR 15:3, pages 221-264.
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Ram U. Verma & Youngsoo Seol. (2016) Role of exponential type random invexities for asymptotically sufficient efficiency conditions in semi-infinite multi-objective fractional programming. SpringerPlus 5:1.
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Hyunseok Cho, Kyoung-Kuk Kim & Kyungsik Lee. (2015) Computing lower bounds on basket option prices by discretizing semi-infinite linear programming. Optimization Letters 10:8, pages 1629-1644.
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András Prékopa, Anh Ninh & Gabriela Alexe. (2016) On the relationship between the discrete and continuous bounding moment problems and their numerical solutions. Annals of Operations Research 238:1-2, pages 521-575.
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Ram U Verma & Youngsoo Seol. (2015) Some sufficient efficiency conditions in semiinfinite multiobjective fractional programming based on exponential type invexities. Journal of Inequalities and Applications 2015:1.
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Ram U. VERMA. (2015) The sufficient efficiency conditions in semiinfinite multiobjective fractional programming under higher order exponential type hybrid type invexities. Acta Mathematica Scientia 35:6, pages 1437-1453.
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Shuxiong Wang & Yaxiang Yuan. (2015) Feasible Method for Semi-Infinite Programs. SIAM Journal on Optimization 25:4, pages 2537-2560.
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Miguel A. Goberna & Marco A. LópezMiguel A. Goberna & Marco A. López. 2014. Post-Optimal Analysis in Linear Semi-Infinite Optimization. Post-Optimal Analysis in Linear Semi-Infinite Optimization 79 107 .
Miguel A. Goberna & Marco A. LópezMiguel A. Goberna & Marco A. López. 2014. Post-Optimal Analysis in Linear Semi-Infinite Optimization. Post-Optimal Analysis in Linear Semi-Infinite Optimization 61 77 .
Miguel A. Goberna & Marco A. LópezMiguel A. Goberna & Marco A. López. 2014. Post-Optimal Analysis in Linear Semi-Infinite Optimization. Post-Optimal Analysis in Linear Semi-Infinite Optimization 51 60 .
Miguel A. Goberna & Marco A. LópezMiguel A. Goberna & Marco A. López. 2014. Post-Optimal Analysis in Linear Semi-Infinite Optimization. Post-Optimal Analysis in Linear Semi-Infinite Optimization 39 49 .
Miguel A. Goberna & Marco A. LópezMiguel A. Goberna & Marco A. López. 2014. Post-Optimal Analysis in Linear Semi-Infinite Optimization. Post-Optimal Analysis in Linear Semi-Infinite Optimization 23 37 .
Miguel A. Goberna & Marco A. LópezMiguel A. Goberna & Marco A. López. 2014. Post-Optimal Analysis in Linear Semi-Infinite Optimization. Post-Optimal Analysis in Linear Semi-Infinite Optimization 1 22 .
Oliver Stein. (2012) How to solve a semi-infinite optimization problem. European Journal of Operational Research 223:2, pages 312-320.
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Miguel Ángel Goberna. (2011) Comments on: Stability in linear optimization and related topics. A personal tour. TOP 20:2, pages 245-249.
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