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dc.contributor.authorAntonelli F.en_US
dc.contributor.authorMancini, C.en_US
dc.contributor.authorPinar, M.Ç.en_US
dc.date.accessioned2016-02-08T09:34:05Z
dc.date.available2016-02-08T09:34:05Z
dc.date.issued2013en_US
dc.identifier.issn2331934en_US
dc.identifier.urihttp://hdl.handle.net/11693/20731
dc.description.abstractWe propose an approach for computing the arbitrage-free interval for the price of an American option in discrete incomplete market models via linear programming. The main idea is built replicating strategies that use both the basic asset and some European derivatives available on the market for trading. This method goes under the name of calibrated option pricing and it has given significant results for European options. Here, we extend the analysis to American options showing that the arbitrage-free interval can be characterized in terms of martingale measures and that it gets significantly reduced with respect to the non-calibrated case. © 2013 © 2013 Taylor & Francis.en_US
dc.language.isoEnglishen_US
dc.source.titleOptimizationen_US
dc.relation.isversionofhttp://dx.doi.org/10.1080/02331934.2013.833201en_US
dc.subjectAmerican optionen_US
dc.subjectarbitrage-free intervalen_US
dc.subjectcalibrated option pricingen_US
dc.subjectdual theoryen_US
dc.subjectincomplete marketen_US
dc.subjectmartingale measuresen_US
dc.titleCalibrated American option pricing by stochastic linear programmingen_US
dc.typeArticleen_US
dc.departmentDepartment of Industrial Engineering
dc.citation.spage1433en_US
dc.citation.epage1450en_US
dc.citation.volumeNumber62en_US
dc.citation.issueNumber11en_US
dc.identifier.doi10.1080/02331934.2013.833201en_US


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