Calibrated American option pricing by stochastic linear programming

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dc.citation.epage1450en_US
dc.citation.issueNumber11en_US
dc.citation.spage1433en_US
dc.citation.volumeNumber62en_US
dc.contributor.authorAntonelli, F.en_US
dc.contributor.authorMancini, C.en_US
dc.contributor.authorPınar, M. Ç.en_US
dc.date.accessioned2015-07-28T12:03:59Z
dc.date.available2015-07-28T12:03:59Z
dc.date.issued2013-09-09en_US
dc.departmentDepartment of Industrial Engineeringen_US
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.en_US
dc.description.provenanceMade available in DSpace on 2015-07-28T12:03:59Z (GMT). No. of bitstreams: 1 10.1080-02331934-2013.833201.pdf: 210726 bytes, checksum: 57f3af812c47810acdbc5e2ac8c25068 (MD5)en
dc.identifier.doi10.1080/02331934.2013.833201en_US
dc.identifier.eissn1029-4945
dc.identifier.issn0233-1934
dc.identifier.urihttp://hdl.handle.net/11693/12938
dc.language.isoEnglishen_US
dc.publisherTaylor & Francisen_US
dc.relation.isversionofhttp://dx.doi.org/10.1080/02331934.2013.833201en_US
dc.source.titleOptimization: A Journal of Mathematical Programming and Operations Researchen_US
dc.subjectAmerican Optionen_US
dc.subjectIncomplete Marketen_US
dc.subjectArbitrage-free Interval, Calibrated Option Pricingen_US
dc.subjectDual Theoryen_US
dc.subjectMartingale Measuresen_US
dc.titleCalibrated American option pricing by stochastic linear programmingen_US
dc.typeArticleen_US

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