Financial Applications

Robert J. Vanderbei
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Robert J. Vanderbei: Princeton University

Chapter Chapter 13 in Linear Programming, 2008, pp 211-222 from Springer

Abstract: Abstract In this chapter, we shall study some applications of linear programming to problems in quantitative finance.

Keywords: Stock Price; Option Price; Linear Programming Problem; Portfolio Selection; Call Option (search for similar items in EconPapers)
Date: 2008
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Persistent link: https://EconPapers.repec.org/RePEc:spr:isochp:978-0-387-74388-2_13

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DOI: 10.1007/978-0-387-74388-2_13

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