Pricing American contingent claims by stochastic linear programming

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dc.citation.epage640en_US
dc.citation.issueNumber6en_US
dc.citation.spage627en_US
dc.citation.volumeNumber58en_US
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.departmentDepartment of Industrial Engineeringen_US
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.description.provenanceMade available in DSpace on 2016-02-08T10:03:14Z (GMT). No. of bitstreams: 1 bilkent-research-paper.pdf: 70227 bytes, checksum: 26e812c6f5156f83f0e77b261a471b5a (MD5) Previous issue date: 2009en
dc.identifier.doi10.1080/02331930902819188en_US
dc.identifier.eissn1029-4945
dc.identifier.issn0233-1934
dc.identifier.urihttp://hdl.handle.net/11693/22675
dc.language.isoEnglishen_US
dc.publisherTaylor & Francisen_US
dc.relation.isversionofhttp://dx.doi.org/10.1080/02331930902819188en_US
dc.source.titleOptimizationen_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

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