Expected gain-loss pricing and hedging of contingent claims in incomplete markets by linear programming

DOI10.1016/j.ejor.2009.02.031zbMath1173.91397OpenAlexW2125768427MaRDI QIDQ1038336

Ahmet Camcı, Aslıhan Salih, Mustafa Çelebi Pinar

Publication date: 17 November 2009

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2009.02.031

zbMATH Keywords

martingaleshedgingtransaction costspricingcontingent claimstochastic linear programming

Mathematics Subject Classification ID

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

Related Items

A dual representation of gain–loss hedging for European claims in discrete time ⋮ A new elementary geometric approach to option pricing bounds in discrete time models ⋮ Mixed-integer second-order cone programming for lower hedging of American contingent claims in incomplete markets ⋮ DYNAMIC CONIC FINANCE: PRICING AND HEDGING IN MARKET MODELS WITH TRANSACTION COSTS VIA DYNAMIC COHERENT ACCEPTABILITY INDICES ⋮ Optimizing bounds on security prices in incomplete markets. Does stochastic volatility specification matter? ⋮ Gain-loss based convex risk limits in discrete-time trading ⋮ Partial hedging and cash requirements in discrete time

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