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Computing general static-arbitrage bounds for European basket options via Dantzig-Wolfe decomposition.
Javier Peña
Xavier Saynac
Juan Carlos Vera
Luis Fernando Zuluaga
Published in:
Algorithmic Oper. Res. (2010)
Keyphrases
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dantzig wolfe decomposition
special case
worst case
upper bound
cooperative
lower bound
np hard