Publications en collaboration avec des chercheurs de Laboratory for Analysis and Architecture of Systems (2)

2006

  1. Pricing a class of exotic options via moments and SDP relaxations

    Mathematical Finance, Vol. 16, Núm. 3, pp. 469-494

2004

  1. SDP vs. LP relaxations for the moment approach in some performance evaluation problems

    Stochastic Models, Vol. 20, Núm. 4, pp. 439-456