Pricing American contingent claims by stochastic linear programming (Q3391893): Difference between revisions

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-Ahmet Camcı
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-Mustafa Çelebi Pinar
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+Ahmet Camcı
@@ Property / author: Ahmet Camcı / rank @@
+Normal rank
@@ Property / author @@
+Mustafa Çelebi Pinar
@@ Property / author: Mustafa Çelebi Pinar / rank @@
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+CPLEX
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+Randomized Stopping Times and American Option Pricing with Transaction Costs
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+Martingales and arbitrage in multiperiod securities markets
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+Duality and martingales: a stochastic programming perspective on contingent claims
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+Measures of model uncertainty and calibrated option bounds
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+Q4235027
@@ Property / cites work: Q4235027 / rank @@
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+Stochastic programming approach to optimization under uncertainty
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+Publication:3391893