Pricing American contingent claims by stochastic linear programming

DOI10.1080/02331930902819188zbMath1167.90599OpenAlexW1990402118MaRDI QIDQ3391893

Ahmet Camcı, Mustafa Çelebi Pinar

Publication date: 13 August 2009

Published in: Optimization (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/11693/22675

zbMATH Keywords

martingaleshedgingpricingstochastic linear programmingAmerican contingent claim

Mathematics Subject Classification ID

Related Items (7)

A new elementary geometric approach to option pricing bounds in discrete time models ⋮ Mixed-integer second-order cone programming for lower hedging of American contingent claims in incomplete markets ⋮ An integer programming model for pricing American contingent claims under transaction costs ⋮ Buyer's quantile hedge portfolios in discrete-time trading ⋮ Lower hedging of American contingent claims with minimal surplus risk in finite-state financial markets by mixed-integer linear programming ⋮ On optimal partial hedging in discrete markets ⋮ Calibrated American option pricing by stochastic linear programming

Uses Software

• CPLEX
• GAMS

Cites Work

• Unnamed Item
• Stochastic programming approach to optimization under uncertainty
• Martingales and arbitrage in multiperiod securities markets
• Duality and martingales: a stochastic programming perspective on contingent claims
• Randomized Stopping Times and American Option Pricing with Transaction Costs
• Measures of model uncertainty and calibrated option bounds

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