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Superreplication of Financial Derivatives via Convex Programming.

Nabil Kahalé
Published in: Manag. Sci. (2017)
Keyphrases
  • convex programming
  • convex optimization
  • linear programming
  • interior point methods
  • higher order
  • primal dual
  • semidefinite programming
  • convex functions
  • kernel learning
  • training data
  • optimal solution
  • linear program