## Search

Now showing items 1-10 of 22

#### An integer programming model for pricing American contingent claims under transaction costs

(2012)

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 ...

#### The robust network loading problem under hose demand uncertainty: formulation, polyhedral analysis, and computations

(Institute for Operations Research and the Management Sciences (I N F O R M S), 2011)

We consider the network loading problem (NLP) under a polyhedral uncertainty description of traffic demands. After giving a compact multicommodity flow formulation of the problem, we state a decomposition property obtained ...

#### Joint mixability of some integer matrices

(Elsevier B.V.Elsevier BV, 2016)

We study the problem of permuting each column of a given matrix to achieve minimum maximal row sum or maximum minimal row sum, a problem of interest in probability theory and quantitative finance where quantiles of a random ...

#### Lower hedging of American contingent claims with minimal surplus risk in finite-state financial markets by mixed-integer linear programming

(2014)

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 ...

#### Discrete-time pricing and optimal exercise of American perpetual warrants in the geometric random walk model

(2013)

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 ...

#### Non-linear pricing by convex duality

(Elsevier, 2015)

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 ...

#### 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 ...

#### 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 ...

#### OSPF routing with optimal oblivious performance ratio under polyhedral demand uncertainty

(Springer, 2010)

We study the best OSPF style routing problem in telecommunication networks, where weight management is employed to get a routing configuration with the minimum oblivious ratio. We consider polyhedral demand uncertainty: ...

#### Mixed-integer second-order cone programming for lower hedging of American contingent claims in incomplete markets

(2013)

We describe a challenging class of large mixed-integer second-order cone programming models which arise in computing the maximum price that a buyer is willing to disburse to acquire an American contingent claim in an ...