An integer programming model for pricing American contingent claims under transaction costs (Q429815)
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scientific article; zbMATH DE number 6048453
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | An integer programming model for pricing American contingent claims under transaction costs |
scientific article; zbMATH DE number 6048453 |
Statements
An integer programming model for pricing American contingent claims under transaction costs (English)
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20 June 2012
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American contingent claims
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transaction costs
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mixed-integer programming
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linear programming
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martingales
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incomplete markets
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pricing
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hedging
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dividends
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0.89846265
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0.8733883
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0.8728287
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0.87064326
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