Nonconvex optimization for pricing and hedging in imperfect markets.
Alejandro BalbásSilvia MayoralPublished in: Comput. Math. Appl. (2006)
Keyphrases
- financial markets
- optimization problems
- global optimization
- optimization algorithm
- convertible bonds
- option pricing
- convex optimization
- objective function
- stock price
- nonlinear programming
- optimization process
- pricing model
- revenue management
- electronic commerce
- evolutionary algorithm
- risk management
- cost function
- information goods