Pricing American Perpetual Warrants by Linear Programming

DOI10.1137/080728366zbMath1180.90191OpenAlexW2070132029MaRDI QIDQ3651187

Ç. Mustafa Pinar, Robert J. Vanderbei

Publication date: 8 December 2009

Published in: SIAM Review (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/11693/22502

zbMATH Keywords

linear programmingdynamic programmingdualityharmonic functionspricingAmerican optionsecond-order difference equationsperpetual warrant

Mathematics Subject Classification ID

Applications of mathematical programming (90C90) Linear programming (90C05) Dynamic programming (90C39) Derivative securities (option pricing, hedging, etc.) (91G20) Harmonic, subharmonic, superharmonic functions on other spaces (31C05)

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Discrete-time pricing and optimal exercise of American perpetual warrants in the geometric random walk model ⋮ Pricing of claims in discrete time with partial information

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