Now showing items 1-3 of 3

    • Pricing multiple exercise American options by linear programming 

      Giandomenico, M.; Pınar, Mustafa Ç. (Springer New York LLC, 2017)
      We consider the problem of computing the lower hedging price of American options of the call and put type written on a non-dividend paying stock in a non-recombinant tree model with multiple exercise rights. We prove using ...
    • Risk-averse multi-stage mixed-integer stochastic programming problems 

      Mahmutoğulları, Ali İrfan (Bilkent University, 2019-01-29)
      Risk-averse multi-stage mixed-integer stochastic programming problems form a class of extremely challenging problems since the problem size grows exponentially with the number of stages, they are non-convex due to ...
    • Robust auction design under multiple priors by linear and integer programming 

      Koçyiğit, Ç.; Bayrak, H. İ.; Pınar, M. Ç. (Springer New York LLC, 2018)
      It is commonly assumed in the optimal auction design literature that valuations of buyers are independently drawn from a unique distribution. In this paper we study auctions under ambiguity, that is, in an environment where ...