Duality theory and simulation in financial engineering

Winter Simulation Conference Proceedings

Volumn 1, Issue , 2003, Pages 327-334

  Haugh, Martin B ^a  

^a Columbia University ^*  (United States)

Author keywords

[No Author keywords available]

Indexed keywords

APPROXIMATION THEORY; COMPUTATIONAL METHODS; COMPUTER SIMULATION; DYNAMIC PROGRAMMING; FUNCTION EVALUATION; ITERATIVE METHODS; MARKOV PROCESSES; RISK MANAGEMENT; ECONOMICS;

APPROXIMATE DYNAMIC PROGRAMMING (ADP); FINANCIAL ENGINEERING;

FINANCE; FINANCIAL DATA PROCESSING;

AMERICAN OPTIONS; APPROXIMATE DYNAMIC PROGRAMMING; APPROXIMATE SOLUTION; DUALITY THEORY; FINANCIAL ENGINEERING; IT FOCUS; OPTIMIZATION PROBLEMS; OPTIONS PRICING; PORTFOLIO OPTIMIZATION; STATE-SPACE;

EID: 1642437938     PISSN: 02750708     EISSN: None     Source Type: Conference Proceeding    
DOI: None     Document Type: Conference Paper

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