Lower hedging of American contingent claims with minimal surplus risk in finite-state financial markets by mixed-integer linear programming

DOI10.1016/J.DAM.2011.10.010MaRDI QIDQ496684zbMATH OpenOpenAlexFDO

Authors Mustafa Ç. Pınar

Publication date 22 September 2015

Published in Discrete Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.dam.2011.10.010

zbMATH Keywords

American contingent claimshedgingmartingalesmixed-integer linear programmingpricing

Mathematics Subject Classification ID

Applications of mathematical programming (90C90) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites work

• Coherent hedging in incomplete markets
• Convex Hedging in Incomplete Markets
• Duality and martingales: a stochastic programming perspective on contingent claims
• Efficient hedging with coherent risk measure
• Efficient hedging: cost versus shortfall risk
• Minimizing coherent risk measures of shortfall in discrete‐time models with cone constraints
• Minimizing Expected Loss of Hedging in Incomplete and Constrained Markets
• On the existence of an efficient hedge for an American contingent claim within a discrete time market
• Option pricing by mathematical programming†
• Pricing American contingent claims by stochastic linear programming
• Quantile hedging
• Randomized stopping times and American option pricing with transaction costs
• Risk measure pricing and hedging in incomplete markets

Cited in

(3)

• Mixed-integer second-order cone programming for lower hedging of American contingent claims in incomplete markets
• Pricing American contingent claims by stochastic linear programming
• Minimax estimation of value-at-risk under hedging of an American contingent claim in a discrete financial market

Describes a project that uses

Uses Software

• GAMS

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