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Pricing a class of exotic options via moments and SDP relaxations

Zervos, Mihail and Lasserre, Jean Bernard and Prieto-Rumeau, T (2006) Pricing a class of exotic options via moments and SDP relaxations. Mathematical Finance, 16 (3). pp. 429-494. ISSN 0960-1627

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Identification Number: 10.1111/j.1467-9965.2006.00279.x
Item Type: Article
Official URL: http://www.blackwellpublishing.com/journal.asp?ref...
Additional Information: © 2006 Wiley
Subjects: H Social Sciences > HF Commerce
H Social Sciences > HF Commerce > HF5601 Accounting
Sets: Departments > Accounting and Finance
Departments > Mathematics
Date Deposited: 15 Aug 2008 15:40
Last Modified: 01 Oct 2010 09:07
URI: http://eprints.lse.ac.uk/id/eprint/15281

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