Calibrated American option pricing by stochastic linear programming

DOI10.1080/02331934.2013.833201zbMath1282.91317OpenAlexW2125297735MaRDI QIDQ5746725

Fabio Antonelli, Carlo Mancini, Mustafa Çelebi Pinar

Publication date: 7 February 2014

Published in: Optimization (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/11693/12938

zbMATH Keywords

incomplete marketAmerican optionmartingale measuresdual theoryarbitrage-free intervalcalibrated option pricing

Mathematics Subject Classification ID

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

Related Items (2)

A new elementary geometric approach to option pricing bounds in discrete time models ⋮ Optimization Methods in Mathematical Finance

Cites Work

• Effective securities in arbitrage-free markets with bid-ask spreads at liquidation: a linear programming characterization
• Arbitrage, linear programming and martingales in securities markets with bid-ask spreads
• Duality and martingales: a stochastic programming perspective on contingent claims
• Pricing American contingent claims by stochastic linear programming
• CALIBRATED OPTION BOUNDS
• Option pricing by mathematical programming†
• MODEL UNCERTAINTY AND ITS IMPACT ON THE PRICING OF DERIVATIVE INSTRUMENTS

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