Option pricing by mathematical programming†

DOI10.1080/02331930701779054MaRDI QIDQ5449021zbMATH OpenOpenAlexFDO

Authors Sjur Didrik Flåm

Publication date 10 March 2008

Published in Optimization (Search for Journal in Brave)

Full work available at URL http://ekstern.filer.uib.no/svf/2007/No.%2008-07.pdf

zbMATH Keywords

asset pricingcombinatorial optimizationtotally unimodular matrices

Mathematics Subject Classification ID

Linear programming (90C05) Stochastic programming (90C15) Combinatorial optimization (90C27) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites work

• Cash Stream Valuation In the Face of Transaction Costs and Taxes
• Convergence of utility indifference prices to the superreplication price
• Duality and martingales: a stochastic programming perspective on contingent claims
• Maxmin expected utility with non-unique prior
• Monte Carlo valuation of American options
• On bridging the gap between stochastic integer programming and MIP solver technologies
• Pricing American Options: A Duality Approach
• Scenarios for multistage stochastic programs
• The Pricing of Options With an Uncertain Interest Rate: A Discrete‐Time Approach¹

Cited in

(19)

• Expected gain-loss pricing and hedging of contingent claims in incomplete markets by linear programming
• Option strategies with linear programming
• Solution of option pricing equations using orthogonal polynomial expansion.
• Arbitrage conditions for electricity markets with production and storage
• Time consistent pricing of options with embedded decisions
• Computational methods for incentive option valuation
• Valuation and pricing of electricity delivery contracts: the producer's view
• A direct solution method for pricing options involving the maximum process
• Option pricing with Legendre polynomials
• Bounding Option Prices by Semidefinite Programming: A Cutting Plane Algorithm
• scientific article; zbMATH DE number 2133128 (Why is no real title available?)
• A dynamic programming approach for pricing CDS and CDS options
• A new elementary geometric approach to option pricing bounds in discrete time models
• Proper Orthogonal Decomposition in Option Pricing
• scientific article; zbMATH DE number 1865402 (Why is no real title available?)
• Lower hedging of American contingent claims with minimal surplus risk in finite-state financial markets by mixed-integer linear programming
• Calibrated American option pricing by stochastic linear programming
• Integer programs for margining option portfolios by option spreads with more than four legs
• Pricing European options by numerical replication: quadratic programming with constraints

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