Pricing American Perpetual Warrants by Linear Programming.
Robert J. VanderbeiMustafa Ç. PinarPublished in: SIAM Rev. (2009)
Keyphrases
- linear programming
- linear program
- united states
- feasible solution
- objective function
- dynamic programming
- column generation
- np hard
- optimal solution
- primal dual
- nonlinear programming
- dynamic pricing
- integer programming
- simplex algorithm
- profit maximization
- quadratic programming
- texas a m university
- network flow
- mechanism design
- constraint propagation
- optimization problems
- lower bound
- distributional assumptions
- optimal pricing
- multi agent systems
- database