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dc.contributor.authorPınar, M. Ç.en_US
dc.date.accessioned2016-02-08T09:41:37Z
dc.date.available2016-02-08T09:41:37Z
dc.date.issued2013en_US
dc.identifier.issn1862-4472
dc.identifier.urihttp://hdl.handle.net/11693/21130
dc.description.abstractWe 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 incomplete financial market with no arbitrage opportunity. Taking the viewpoint of an investor who is willing to allow a controlled amount of risk by replacing the classical no-arbitrage assumption with a "no good-deal assumption" defined using an arbitrage-adjusted Sharpe ratio criterion we formulate the problem of computing the pricing and hedging of an American option in a financial market described by a multi-period, discrete-time, finite-state scenario tree as a large-scale mixed-integer conic optimization problem. We report computational results with off-the-shelf mixed-integer conic optimization software.en_US
dc.language.isoEnglishen_US
dc.source.titleOptimization Lettersen_US
dc.relation.isversionofhttp://dx.doi.org/10.1007/s11590-011-0394-zen_US
dc.subjectAmerican optionsen_US
dc.subjectMixed-integer second-order cone optimizationen_US
dc.subjectAmerican optionsen_US
dc.subjectComputational resultsen_US
dc.subjectConic optimizationen_US
dc.subjectContingent claimsen_US
dc.subjectFinancial marketen_US
dc.subjectFinite-stateen_US
dc.subjectIncomplete financial marketsen_US
dc.subjectIncomplete marketsen_US
dc.subjectMixed-integeren_US
dc.subjectMulti-perioden_US
dc.subjectNo arbitrageen_US
dc.subjectScenario treeen_US
dc.subjectSecond order coneen_US
dc.subjectSecond-order cone programmingen_US
dc.subjectSharpe ratiosen_US
dc.subjectCommerceen_US
dc.subjectDecision treesen_US
dc.subjectFinanceen_US
dc.subjectOptimizationen_US
dc.subjectRisk perceptionen_US
dc.subjectInteger programmingen_US
dc.titleMixed-integer second-order cone programming for lower hedging of American contingent claims in incomplete marketsen_US
dc.typeArticleen_US
dc.departmentDepartment of Industrial Engineeringen_US
dc.citation.spage63en_US
dc.citation.epage78en_US
dc.citation.volumeNumber7en_US
dc.citation.issueNumber1en_US
dc.identifier.doi10.1007/s11590-011-0394-zen_US
dc.identifier.eissn1862-4480


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