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"An Inverse Problem in American Options as a Mathematical Program with ..."

Michael Hintermüller, Moulay Hicham Tber (2010)

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DOI: 10.1137/080737277

access: closed

type: Journal Article

metadata version: 2023-08-28

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Michael Hintermüller, Moulay Hicham Tber:
An Inverse Problem in American Options as a Mathematical Program with Equilibrium Constraints: C-Stationarity and an Active-Set-Newton Solver. SIAM J. Control. Optim. 48(7): 4419-4452 (2010)

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