| A relaxed cutting plane algorithm for solving the Vasicek-type interest rate model (JNCA) |
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Volume 10
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Number 1
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pp. 117-130
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| A relaxed cutting plane algorithm for solving the Vasicek-type interest rate model |
| Homing Chen and Cheng-Feng Hu |
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| Key words |
Mathematices Subject Classification |
| Semi-infinite programming, interest rate model |
46N10, 62P05 |
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| Copyright© 2011 Yokohama Publishers |
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