An integer programming model for pricing American contingent claims under transaction costs
type: Item
instance of: scholarly article
title: An integer programming model for pricing American contingent claims under transaction costs
zbMATH Open document ID: 1241.91119
published in: Computational Economics
publication date: 2012-06-20T00:00:00Z
full work available at URL: http://hdl.handle.net/11693/21640
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 90C11
zbMATH DE Number: 6048453
zbMATH Keywords: American contingent claims
zbMATH Keywords: transaction costs
zbMATH Keywords: mixed-integer programming
zbMATH Keywords: linear programming
zbMATH Keywords: martingales
zbMATH Keywords: incomplete markets
zbMATH Keywords: pricing
zbMATH Keywords: hedging
zbMATH Keywords: dividends
author: Mustafa Ç. Pınar
author: Ahmet Camcı
MaRDI profile type: Publication
OpenAlex ID: W2162308061
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cites work: Q4868513
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cites work: Hedging American contingent claims with constrained portfolios
cites work: Duality and martingales: a stochastic programming perspective on contingent claims
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cites work: American contingent claims under small proportional transaction costs
DOI: 10.1007/S10614-010-9209-Z
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description: scientific article; zbMATH DE number 6048453