Browsing by Subject "American contingent claim"

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    Pricing American contingent claims by stochastic linear programming
    (Taylor & Francis, 2009) Camcı, A.; Pınar, M. Ç.
    We 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.