An integer programming model for pricing American contingent claims under transaction costs

DOI10.1007/s10614-010-9209-zzbMath1241.91119OpenAlexW2162308061MaRDI QIDQ429815

Ahmet Camcı, Mustafa Çelebi Pinar

Publication date: 20 June 2012

Published in: Computational Economics (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/11693/21640

zbMATH Keywords

linear programmingmartingaleshedgingincomplete marketstransaction costspricingmixed-integer programmingdividendsAmerican contingent claims

Mathematics Subject Classification ID

Mixed integer programming (90C11) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• Unnamed Item
• On the theory of option pricing
• On the hedging of American options in discrete time markets with proportional transaction costs
• American contingent claims under small proportional transaction costs
• On the pricing of American options
• Martingales and arbitrage in multiperiod securities markets
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• Arbitrage, linear programming and martingales in securities markets with bid-ask spreads
• Duality and martingales: a stochastic programming perspective on contingent claims
• Randomized Stopping Times and American Option Pricing with Transaction Costs
• Pricing of American Contingent Claims with Jump Stock Price and Constrained Portfolios
• Pricing American contingent claims by stochastic linear programming
• Compactness of stopping times
• Hedging in discrete time under transaction costs and continuous-time limit

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