Show simple item record

dc.contributor.authorCamcı, A.en_US
dc.contributor.authorPınar, M. Ç.en_US
dc.date.accessioned2016-02-08T10:03:14Z
dc.date.available2016-02-08T10:03:14Z
dc.date.issued2009en_US
dc.identifier.issn0233-1934
dc.identifier.urihttp://hdl.handle.net/11693/22675
dc.description.abstractWe 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 integer programme unlike European contingent claims for which solving a linear programme is sufficient. However, we show that a relaxation of the integer programming problem that is a linear programme, can be used to get the same lower bound for the price of the ACC.en_US
dc.language.isoEnglishen_US
dc.source.titleOptimizationen_US
dc.relation.isversionofhttp://dx.doi.org/10.1080/02331930902819188en_US
dc.subjectAmerican contingent claimen_US
dc.subjectHedgingen_US
dc.subjectMartingalesen_US
dc.subjectPricingen_US
dc.subjectStochastic linear programmingen_US
dc.titlePricing American contingent claims by stochastic linear programmingen_US
dc.typeArticleen_US
dc.departmentDepartment of Industrial Engineeringen_US
dc.citation.spage627en_US
dc.citation.epage640en_US
dc.citation.volumeNumber58en_US
dc.citation.issueNumber6en_US
dc.identifier.doi10.1080/02331930902819188en_US
dc.publisherTaylor & Francisen_US
dc.identifier.eissn1029-4945


Files in this item

Thumbnail

This item appears in the following Collection(s)

Show simple item record