Camcı, A.Pınar, M. Ç.2016-02-082016-02-0820090233-1934http://hdl.handle.net/11693/22675We 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.EnglishAmerican contingent claimHedgingMartingalesPricingStochastic linear programmingArticle10.1080/023319309028191881029-4945