Now showing items 1-5 of 5
Discrete-time pricing and optimal exercise of American perpetual warrants in the geometric random walk model
An American option (or, warrant) is the right, but not the obligation, to purchase or sell an underlying equity at any time up to a predetermined expiration date for a predetermined amount. A perpetual American option ...
Robust screening under ambiguity
We consider the problem of screening where a seller puts up for sale an indivisible good, and a buyer with a valuation unknown to the seller wishes to acquire the good. We assume that the buyer valuations are represented ...
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 ...
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 ...
Non-linear pricing by convex duality
We consider the pricing problem of a risk-neutral monopolist who produces (at a cost) and offers an infinitely divisible good to a single potential buyer that can be of a finite number of (single dimensional) types. The ...