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Numerical treatment of an asset price model with non-stochastic uncertainty

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Listed:
  • R. Tichatschke
  • A. Kaplan
  • T. Voetmann
  • M. Böhm

Abstract

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Suggested Citation

  • R. Tichatschke & A. Kaplan & T. Voetmann & M. Böhm, 2002. "Numerical treatment of an asset price model with non-stochastic uncertainty," TOP: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 10(1), pages 1-30, June.
    • Handle: RePEc:spr:topjnl:v:10:y:2002:i:1:p:1-30
    DOI: 10.1007/BF02578932
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    References listed on IDEAS

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    1. Alfred Auslender & Marc Teboulle & Sami Ben-Tiba, 1999. "Interior Proximal and Multiplier Methods Based on Second Order Homogeneous Kernels," Mathematics of Operations Research, INFORMS, vol. 24(3), pages 645-668, August.
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    Cited by:

    1. Chen, Homing & Hu, Cheng-Feng, 2010. "A relaxed cutting plane algorithm for solving the Vasicek-type forward interest rate model," European Journal of Operational Research, Elsevier, vol. 204(2), pages 343-354, July.
    2. A. Auslender & A. Ferrer & M. Goberna & M. López, 2015. "Comparative study of RPSALG algorithm for convex semi-infinite programming," Computational Optimization and Applications, Springer, vol. 60(1), pages 59-87, January.

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