Browsing by Keywords "Stochastic linear programming"

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Expected gain-loss pricing and hedging of contingent claims in incomplete markets by linear programming

Pınar, M. Ç.; Salih, A.; Camcı, A. (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 ...
Pricing American contingent claims by stochastic linear programming

Camcı, A.; Pınar, M. Ç. (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 ...