Article ID: | iaor20032394 |
Country: | United States |
Volume: | 48 |
Issue: | 5 |
Start Page Number: | 665 |
End Page Number: | 678 |
Publication Date: | May 2002 |
Journal: | Management Science |
Authors: | Konno Hiroshi, Gotoh Jun-ya |
Keywords: | programming: integer |
In a recent article, Bertsimas and Popescu showed that a tight upper bound on a European-type call option price, given the first