Option pricing by mathematical programming†
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Publication:5449021
DOI10.1080/02331930701779054zbMath1151.91507OpenAlexW1749316367MaRDI QIDQ5449021
Publication date: 10 March 2008
Published in: Optimization (Search for Journal in Brave)
Full work available at URL: http://ekstern.filer.uib.no/svf/2007/No.%2008-07.pdf
Linear programming (90C05) Stochastic programming (90C15) Combinatorial optimization (90C27) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items (6)
A new elementary geometric approach to option pricing bounds in discrete time models ⋮ Lower hedging of American contingent claims with minimal surplus risk in finite-state financial markets by mixed-integer linear programming ⋮ Arbitrage conditions for electricity markets with production and storage ⋮ Calibrated American option pricing by stochastic linear programming ⋮ Expected gain-loss pricing and hedging of contingent claims in incomplete markets by linear programming ⋮ Valuation and pricing of electricity delivery contracts: the producer's view
Cites Work
- Convergence of utility indifference prices to the superreplication price
- Maxmin expected utility with non-unique prior
- Duality and martingales: a stochastic programming perspective on contingent claims
- On Bridging the Gap Between Stochastic Integer Programming and MIP Solver Technologies
- Pricing American Options: A Duality Approach
- Cash Stream Valuation In the Face of Transaction Costs and Taxes
- The Pricing of Options With an Uncertain Interest Rate: A Discrete‐Time Approach1
- Monte Carlo valuation of American options
- Scenarios for multistage stochastic programs
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