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
(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
(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 ...