Discrete-time pricing and optimal exercise of American perpetual warrants in the geometric random walk model
DOI10.1007/s00245-012-9182-0zbMath1260.93180OpenAlexW2103251748MaRDI QIDQ1946533
Robert J. Vanderbei, Efe B. Bozkaya, Mustafa Çelebi Pinar
Publication date: 15 April 2013
Published in: Applied Mathematics and Optimization (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/11693/21086
linear programmingoptimal stoppingdualityvalue functionoptimal exercisecomplementary slackness conditionsgeometric random walk modeldiscrete state Markov processAmerican perpetual warrantscombination of state-transition probabilitiescritical value excessive-majorant propertydiscrete-time pricingeconomic discount factorpredetermined expiration dateprevailing interest rateunderlying equityunderlying stock price
Linear programming (90C05) Linear systems in control theory (93C05) Microeconomic theory (price theory and economic markets) (91B24) Optimal stochastic control (93E20) Duality theory (optimization) (49N15)
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