Now showing items 1-4 of 4
An integer programming model for pricing American contingent claims under transaction costs
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 ...
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 ...
Expected gain-loss pricing and hedging of contingent claims in incomplete markets by linear programming
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 ...
An improved probability bound for the Approximate S-Lemma
The purpose of this note is to give a probability bound on symmetric matrices to improve an error bound in the Approximate S-Lemma used in establishing levels of conservatism results for approximate robust counterparts.