An integer programming model for pricing American contingent claims under transaction costs

DOI10.1007/S10614-010-9209-ZMaRDI QIDQ429815zbMATH OpenOpenAlexFDO

Authors Mustafa Ç. Pınar, Ahmet Camcı

Publication date 20 June 2012

Published in Computational Economics (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/11693/21640

zbMATH Keywords

American contingent claimsdividendshedgingincomplete marketslinear programmingmartingalesmixed-integer programmingpricingtransaction costs

Mathematics Subject Classification ID

Mixed integer programming (90C11) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites work

• American contingent claims under small proportional transaction costs
• Arbitrage, linear programming and martingales in securities markets with bid-ask spreads
• Compactness of stopping times
• Duality and martingales: a stochastic programming perspective on contingent claims
• Hedging American contingent claims with constrained portfolios
• Hedging in discrete time under transaction costs and continuous-time limit
• scientific article; zbMATH DE number 852302 (Why is no real title available?)
• Martingales and arbitrage in multiperiod securities markets
• On the hedging of American options in discrete time markets with proportional transaction costs
• On the pricing of American options
• On the theory of option pricing
• Pricing American contingent claims by stochastic linear programming
• Pricing of American contingent claims with jump stock price and constrained portfolios
• Randomized stopping times and American option pricing with transaction costs

Cited in

(4)

• Mixed-integer second-order cone programming for lower hedging of American contingent claims in incomplete markets
• Pricing American contingent claims by stochastic linear programming
• Lower hedging of American contingent claims with minimal surplus risk in finite-state financial markets by mixed-integer linear programming
• American contingent claims under small proportional transaction costs

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