Now showing items 1-6 of 6
Lower hedging of American contingent claims with minimal surplus risk in finite-state financial markets by mixed-integer linear programming
The lower hedging problem with a minimal expected surplus risk criterion in incomplete markets is studied for American claims in finite state financial markets. It is shown that the lower hedging problem with linear expected ...
Sharpe-ratio pricing and hedging of contingent claims in incomplete markets by convex programming
We analyze the problem of pricing and hedging contingent claims in a financial market described by a multi-period, discrete-time, finite-state scenario tree using an arbitrage-adjusted Sharpe-ratio criterion. We show that ...
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 ...
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 ...
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 ...