Maths Linear Programming Formulas ... problem and let Z = ax + by be the objective function. When Z has an optimal value (maximum or minimum), where the variables x and y are subject to ...

Marshall, Paul W. "Linear Programming: A Technique for Analyzing Resource Allocation Problems." Harvard Business School Background Note 171-322, January 1971. (Revised November 1975.) ...

This paper presents a novel approach to the computation of an implied volatility surface of American options written on risky assets. The approach is based on the simple observation that this ...