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"A stochastic semidefinite programming approach for bounds on option ..."

Roy H. Kwon, Jonathan Y. Li (2016)

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DOI: 10.1007/S10479-014-1651-1

access: closed

type: Journal Article

metadata version: 2020-08-13

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Roy H. Kwon, Jonathan Y. Li:
A stochastic semidefinite programming approach for bounds on option pricing under regime switching. Ann. Oper. Res. 237(1-2): 41-75 (2016)

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