Discrete-time pricing and optimal exercise of American perpetual warrants in the geometric random walk model
type: Item
instance of: scholarly article
title: Discrete-time pricing and optimal exercise of American perpetual warrants in the geometric random walk model
zbMATH Open document ID: 1260.93180
author: Robert J. Vanderbei
author: Efe B. Bozkaya
author: Mustafa Ç. Pınar
published in: Applied Mathematics and Optimization
publication date: 2013-04-15T00:00:00Z
full work available at URL: http://hdl.handle.net/11693/21086
Mathematics Subject Classification ID: 93E20
Mathematics Subject Classification ID: 93C05
Mathematics Subject Classification ID: 49N15
Mathematics Subject Classification ID: 91B24
Mathematics Subject Classification ID: 90C05
zbMATH DE Number: 6153913
zbMATH Keywords: American perpetual warrants
zbMATH Keywords: optimal stopping
zbMATH Keywords: optimal exercise
zbMATH Keywords: linear programming
zbMATH Keywords: duality
zbMATH Keywords: combination of state-transition probabilities
zbMATH Keywords: geometric random walk model
zbMATH Keywords: discrete state Markov process
zbMATH Keywords: complementary slackness conditions
zbMATH Keywords: underlying stock price
zbMATH Keywords: economic discount factor
zbMATH Keywords: predetermined expiration date
zbMATH Keywords: prevailing interest rate
zbMATH Keywords: underlying equity
zbMATH Keywords: value function
zbMATH Keywords: critical value excessive-majorant property
zbMATH Keywords: discrete-time pricing
MaRDI profile type: Publication
OpenAlex ID: W2103251748
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DOI: 10.1007/S00245-012-9182-0
description: scientific article; zbMATH DE number 6153913