An Integer Programming Model for Pricing American Contingent Claims under Transaction Costs
| Year of publication: |
2012
|
|---|---|
| Authors: | Pınar, M. ; Camcı, A. |
| Published in: |
Computational Economics. - Society for Computational Economics - SCE, ISSN 0927-7099. - Vol. 39.2012, 1, p. 1-12
|
| Publisher: |
Society for Computational Economics - SCE |
| Subject: | American Contingent Claims | Transaction Costs | Mixed-integer Programming | Linear Programming | Martingales | Incomplete Markets | Pricing | Hedging | Dividends |
| Extent: | text/html |
|---|---|
| Type of publication: | Article |
| Source: |
Persistent link: https://www.econbiz.de/10009401755