Pricing American contingent claims by stochastic linear programming (Q3391893): Difference between revisions
From MaRDI portal
Set OpenAlex properties. |
ReferenceBot (talk | contribs) Changed an Item |
||
| Property / cites work | |||
| Property / cites work: Randomized Stopping Times and American Option Pricing with Transaction Costs / rank | |||
Normal rank | |||
| Property / cites work | |||
| Property / cites work: Martingales and arbitrage in multiperiod securities markets / rank | |||
Normal rank | |||
| Property / cites work | |||
| Property / cites work: Duality and martingales: a stochastic programming perspective on contingent claims / rank | |||
Normal rank | |||
| Property / cites work | |||
| Property / cites work: Measures of model uncertainty and calibrated option bounds / rank | |||
Normal rank | |||
| Property / cites work | |||
| Property / cites work: Q4235027 / rank | |||
Normal rank | |||
| Property / cites work | |||
| Property / cites work: Stochastic programming approach to optimization under uncertainty / rank | |||
Normal rank | |||
Latest revision as of 21:47, 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)
0 references
13 August 2009
0 references
American contingent claim
0 references
pricing
0 references
hedging
0 references
martingales
0 references
stochastic linear programming
0 references
