An efficient and provable sequential quadratic programming method for American and swing option pricing
Article in European Journal of Operational Research (July 2024)
The most recent citing publications are shown below. View all 11 publications that cite this research output on Dimensions.
Article in European Journal of Operational Research (July 2024)
Article in Journal of Financial Risk Management (November 2022)
Preprint in SSRN Electronic Journal (January 2022)