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dc.contributor.authorPınar, M. Ç.en_US
dc.date.accessioned2016-02-08T11:34:30Z
dc.date.available2016-02-08T11:34:30Z
dc.date.issued2014en_US
dc.identifier.issn0166-218X
dc.identifier.urihttp://hdl.handle.net/11693/26742
dc.description.abstractThe 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 surplus criterion for American contingent claims in finite state markets gives rise to a non-convex bilinear programming formulation which admits an exact linearization. The resulting mixed-integer linear program can be readily processed by available software.en_US
dc.language.isoEnglishen_US
dc.source.titleDiscrete Applied Mathematicsen_US
dc.relation.isversionofhttp://dx.doi.org/10.1016/j.dam.2011.10.010en_US
dc.subjectAmerican contingent claimsen_US
dc.subjectHedgingen_US
dc.subjectMartingalesen_US
dc.subjectMixed-integer linear programmingen_US
dc.subjectPricingen_US
dc.subjectMixed integer linear programmingen_US
dc.titleLower hedging of American contingent claims with minimal surplus risk in finite-state financial markets by mixed-integer linear programmingen_US
dc.typeArticleen_US
dc.departmentDepartment of Industrial Engineering
dc.citation.spage304en_US
dc.citation.epage312en_US
dc.citation.volumeNumber164en_US
dc.citation.issueNumber1en_US
dc.identifier.doi10.1016/j.dam.2011.10.010en_US
dc.identifier.eissn1872-6771


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