M.A.H. Dempster and J.P. Hutton. Fast numerical valuation of american exotic and complex options. Working paper, University of Essex, 1995. Home/Search Document Details and Download
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Approximation of Profit-and-Loss Distributions (Part II) - Frauendorfer, Moix, Schmid (1997) (Correct)
....dynamics. It is this dynamic planning mechanism that characterizes stochastic programming and has received increasing attention in finance in the U.S. and in Great Britain due to the successful and valuable contributions of W.T. Ziemba 1992,1994,1997 [24, 38, 39] M. Dempster 1995 and 1996 [5, 6], J. Mulvey 1994 and 1997 [23, 39] and S. Zenios 1992 and 1995 [36, 38, 37] The above mentioned dynamic planning mechanism is solved when integration and optimization of value functions has been performed with a prescribed level of accuracy. Barycentric approximation helps overcome the ....
M.A.H. Dempster and J.P. Hutton. Fast numerical valuation of american exotic and complex options. Working paper, University of Essex, 1995.
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