Calibrated American option pricing by stochastic linear programming

DOI10.1080/02331934.2013.833201MaRDI QIDQ5746725zbMATH OpenOpenAlexFDO

Authors Fabio Antonelli, Carlo Mancini, Mustafa Ç. Pınar

Publication date 7 February 2014

Published in Optimization (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/11693/12938

zbMATH Keywords

American optionarbitrage-free intervalcalibrated option pricingdual theoryincomplete marketmartingale measures

Mathematics Subject Classification ID

Linear programming (90C05) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites work

• Arbitrage, linear programming and martingales in securities markets with bid-ask spreads
• CALIBRATED OPTION BOUNDS
• Duality and martingales: a stochastic programming perspective on contingent claims
• Effective securities in arbitrage-free markets with bid-ask spreads at liquidation: a linear programming characterization
• MODEL UNCERTAINTY AND ITS IMPACT ON THE PRICING OF DERIVATIVE INSTRUMENTS
• Option pricing by mathematical programming†
• Pricing American contingent claims by stochastic linear programming

Cited in

(12)

• Option strategies with linear programming
• scientific article; zbMATH DE number 2133128 (Why is no real title available?)
• A new elementary geometric approach to option pricing bounds in discrete time models
• Pricing American contingent claims by stochastic linear programming
• scientific article; zbMATH DE number 5346998 (Why is no real title available?)
• Calibration to American options: numerical investigation of the de-americanization method
• CALIBRATED OPTION BOUNDS
• Pricing American Put Options Using Malliavin Calculus with Optimal Localization Function
• scientific article; zbMATH DE number 5172395 (Why is no real title available?)
• Optimization Methods in Mathematical Finance
• Pricing and hedging contingent claims by entropy segmentation and Fenchel duality
• Stochastic optimization algorithms for pricing American put options under regime-switching models

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