Pricing American contingent claims by stochastic linear programming
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Cites work
- Duality and martingales: a stochastic programming perspective on contingent claims
- scientific article; zbMATH DE number 1266748 (Why is no real title available?)
- Martingales and arbitrage in multiperiod securities markets
- Measures of model uncertainty and calibrated option bounds
- Randomized stopping times and American option pricing with transaction costs
- Stochastic programming approach to optimization under uncertainty
Cited in
(11)- Expected gain-loss pricing and hedging of contingent claims in incomplete markets by linear programming
- Mixed-integer second-order cone programming for lower hedging of American contingent claims in incomplete markets
- A new elementary geometric approach to option pricing bounds in discrete time models
- Pricing American perpetual warrants by linear programming
- An integer programming model for pricing American contingent claims under transaction costs
- Lower hedging of American contingent claims with minimal surplus risk in finite-state financial markets by mixed-integer linear programming
- scientific article; zbMATH DE number 5584522 (Why is no real title available?)
- Buyer's quantile hedge portfolios in discrete-time trading
- On optimal partial hedging in discrete markets
- Calibrated American option pricing by stochastic linear programming
- Multivariate Lévy models: calibration and pricing
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