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Upper and Lower Bounds for Convex Value Functions of Derivative Contracts
Upper and Lower Bounds for Convex Value Functions of Derivative Contracts
2007
Hatem Ben Ameur
Javier de Frutos
Tarek Fakhfakh
Diaby
Keywords:
Pseudoconvex function
Subderivative
Regular polygon
Mathematical optimization
Convex analysis
Derivative (finance)
Mathematics
Convex optimization
Convex combination
Upper and lower bounds
Applied mathematics
Correction
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