Option pricing by mathematical programming†

DOI10.1080/02331930701779054zbMath1151.91507OpenAlexW1749316367MaRDI QIDQ5449021

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)

Related Items (6)

A new elementary geometric approach to option pricing bounds in discrete time models ⋮ Lower hedging of American contingent claims with minimal surplus risk in finite-state financial markets by mixed-integer linear programming ⋮ Arbitrage conditions for electricity markets with production and storage ⋮ Calibrated American option pricing by stochastic linear programming ⋮ Expected gain-loss pricing and hedging of contingent claims in incomplete markets by linear programming ⋮ Valuation and pricing of electricity delivery contracts: the producer's view

Cites Work

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

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