Pricing European Options by Numerical Replication: Quadratic Programming with Constraints
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Bibliographic InfoArticle provided by Springer in its journal Asia-Pacific Financial Markets.
Volume (Year): 11 (2004)
Issue (Month): 3 (September)
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Web page: http://springerlink.metapress.com/link.asp?id=102851
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- Perrakis, Stylianos & Ryan, Peter J, 1984. " Option Pricing Bounds in Discrete Time," Journal of Finance, American Finance Association, vol. 39(2), pages 519-25, June.
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