Pricing American contingent claims by stochastic linear programming (Q3391893): Difference between revisions
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| Property / OpenAlex ID: W1990402118 / rank | |||
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| Property / cites work: Randomized Stopping Times and American Option Pricing with Transaction Costs / rank | |||
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| Property / cites work: Martingales and arbitrage in multiperiod securities markets / rank | |||
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| Property / cites work: Duality and martingales: a stochastic programming perspective on contingent claims / rank | |||
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| Property / cites work: Measures of model uncertainty and calibrated option bounds / rank | |||
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| Property / cites work: Q4235027 / rank | |||
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| Property / cites work: Stochastic programming approach to optimization under uncertainty / rank | |||
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Latest revision as of 20:47, 1 July 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Pricing American contingent claims by stochastic linear programming |
scientific article |
Statements
Pricing American contingent claims by stochastic linear programming (English)
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13 August 2009
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American contingent claim
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pricing
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hedging
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martingales
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stochastic linear programming
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