Progressive option bounds from the sequence of concurrently expiring options

European Journal of Operational Research

Volumn 151, Issue 1, 2003, Pages 193-223

  Ryan, Peter J ^a  

^a UNIVERSITY OF OTTAWA   (Canada)

Author keywords

Arbitrage pricing; Finance; Linear programming; Options pricing

Indexed keywords

LINEAR PROGRAMMING; MARKETING; SET THEORY;

PRICES;

OPERATIONS RESEARCH;

EID: 0042591532     PISSN: 03772217     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0377-2217(02)00598-2     Document Type: Article

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