Duality of infinite-dimensional linear programming problems and some related matters

Cybernetics ◽  
1972 ◽  
Vol 5 (4) ◽  
pp. 447-455
Author(s):  
V. Temel't
Keyword(s):  
Linear Programming ◽  
Infinite Dimensional ◽  
Linear Programming Problems

METHOD OF MOMENTS APPROACH TO PRICING DOUBLE BARRIER CONTRACTS IN POLYNOMIAL JUMP-DIFFUSION MODELS

2011 ◽  
Vol 14 (07) ◽  
pp. 1139-1158 ◽  
Author(s):  
BJORN ERIKSSON ◽  
MARTIJN PISTORIUS
Keyword(s):  
Linear Programming ◽  
Method Of Moments ◽  
Jump Diffusion ◽  
Upper And Lower Bounds ◽  
Double Barrier ◽  
Knock Out ◽  
Infinite Dimensional ◽  
Convergence Results ◽  
Barrier Type ◽  
Linear Programming Problems

We present a method of moments approach to pricing double barrier contracts when the underlying is modelled by a polynomial jump-diffusion. By general principles the price is linked to certain infinite dimensional linear programming problems. Subsequently approximating these by finite dimensional linear programming problems, upper and lower bounds for the prices of such options are found. We derive theoretical convergence results for this algorithm, and provide numerical illustrations by applying the method to the valuation of several double barrier-type contracts (double barrier knock-out call, American corridor and double-no-touch options) under a number of different models, also allowing for a deterministic short rate.

Solving Fully Fuzzy Multi-Objective Linear Programming Problems

2012 ◽  
Vol 3 (4) ◽  
pp. 1-6 ◽  
Author(s):  
M.Jayalakshmi M.Jayalakshmi ◽  
◽  
P.Pandian P.Pandian
Keyword(s):  
Linear Programming ◽  
Multi Objective ◽  
Linear Programming Problems
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