Mixed-integer second-order cone programming for lower hedging of American contingent claims in incomplete markets.
Mustafa Ç. PinarPublished in: Optim. Lett. (2013)
Keyphrases
- mixed integer
- financial markets
- linear program
- lot sizing
- convex hull
- benders decomposition
- network design problem
- feasible solution
- interior point methods
- continuous relaxation
- mixed integer program
- continuous variables
- optimal solution
- convex optimization
- lagrangian heuristic
- missing data
- missing values
- incomplete data
- totally unimodular
- routing problem
- em algorithm
- special case