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DOC-DAC: a generator for quadratic Discrete-time Optimal Control problems with options for Degeneracy, Activity and Conditioning

open access: yes, 2007
We present a quadratic Discrete-time Optimal Control problem generator, written in C, with options for Degeneracy, Activity and Conditioning (DOCDAC) .
Anthony Graham, Daniel Ralph
core  

Robust One Period Option Modelling

open access: yes
AMS classifications: 90C15; 90C20; 90C90; 49M29;return on investment;option pricing models;optimization;portfolio ...
Sturm, J.F., Lutgens, F.
core  

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