Computing lower bounds on basket option prices by discretizing semi-infinite linear programming.
Hyunseok ChoKyoung-Kuk KimKyungsik LeePublished in: Optim. Lett. (2016)
Keyphrases
- semi infinite
- linear program
- linear programming
- lower bound
- objective function
- optimal solution
- np hard
- upper bound
- column generation
- quadratic program
- feasible solution
- mathematical programming
- primal dual
- mixed integer
- branch and bound
- interior point methods
- dynamic programming
- quadratic programming
- semidefinite programming
- max sat
- optimization problems
- worst case
- support vector machine
- nonlinear programming
- evolutionary algorithm