Browsing by Keywords "Martingales"
Now showing items 1-8 of 8
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The Best Gain-Loss Ratio is a Poor Performance Measure
(Society for Industrial and Applied Mathematics, 2013-03-06)The gain-loss ratio is known to enjoy very good properties from a normative point of view. As a confirmation, we show that the best market gain-loss ratio in the presence of a random endowment is an acceptability index, ... -
Expected gain-loss pricing and hedging of contingent claims in incomplete markets by linear programming
(Elsevier, 2010)We analyze the problem of pricing and hedging contingent claims in the multi-period, discrete time, discrete state case using the concept of a "λ gain-loss ratio opportunity". Pricing results somewhat different from, but ... -
Financial valuation of supply chain contracts
(John Wiley & Sons, 2011)This chapter focuses on a single buyer‐single supplier multiple period quantity flexibility contract in which the buyer has options to order additional quantities of goods in case of a higher than expected demand in addition ... -
Gain-loss pricing under ambiguity of measure
(E D P Sciences, 2010)Motivated by the observation that the gain-loss criterion, while offering economically meaningful prices of contingent claims, is sensitive to the reference measure governing the underlying stock price process (a situation ... -
An integer programming model for pricing American contingent claims under transaction costs
(2012)We study the problem of computing the lower hedging price of an American contingent claim in a finite-state discrete-time market setting under proportional transaction costs. We derive a new mixed-integer linear programming ... -
Lower hedging of American contingent claims with minimal surplus risk in finite-state financial markets by mixed-integer linear programming
(2014)The lower hedging problem with a minimal expected surplus risk criterion in incomplete markets is studied for American claims in finite state financial markets. It is shown that the lower hedging problem with linear expected ... -
Pricing American contingent claims by stochastic linear programming
(Taylor & Francis, 2009)We consider pricing of American contingent claims (ACC) as well as their special cases, in a multi-period, discrete time, discrete state space setting. Until now, determining the buyer's price for ACCs required solving an ... -
Sharpe-ratio pricing and hedging of contingent claims in incomplete markets by convex programming
(Elsevier, 2008-08)We analyze the problem of pricing and hedging contingent claims in a financial market described by a multi-period, discrete-time, finite-state scenario tree using an arbitrage-adjusted Sharpe-ratio criterion. We show that ...
