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Multiple Currency Option Selection Using Stochastic Constraints
respectively are, 11.5%, 8.5%, 7.0%, 10.0%, and 10.5%. Table 1. Call Option Quotes: Philadelphia Exch., Nov. ... are given as in Table 2. 5This will lead to a quadratic programming problem. Table 2. Binomial Lattice ...- Authors: David C Thurston, Kelly T Au, Joel R Barber
- Date: Jan 1996
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations; Strategic Insight and Integration>Strategy development
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments>Derivatives; Finance & Investments>Investment strategy - Finance & Investments