Pricing American contingent claims by stochastic linear programming (Q3391893)

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Pricing American contingent claims by stochastic linear programming
scientific article

    Statements

    title
    Pricing American contingent claims by stochastic linear programming (English)
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    published in
    Optimization
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    publication date
    13 August 2009
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    zbMATH Keywords
    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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    author
    Ahmet Camcı
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    Mustafa Çelebi Pinar
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    describes a project that uses
    CPLEX
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    GAMS
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    Identifiers

    Mathematics Subject Classification ID
    90C11
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    90C90
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    91B28
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    zbMATH DE Number
    5594715
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