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Flam, S.D. (2007). Option Pricing by Mathematical Programming. IIASA Interim Report. IIASA, Laxenburg, Austria: IR-07-032
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Abstract
Financial options typically incorporate times of exercise. Alternatively, they embody setup costs or indivisibilities. Such features lead to planning problems with integer decision variables. Provided the sample space be finite, it is shown here that integrality constraints can often be relaxed. In fact, simple mathematical programming, aimed at arbitrage or replication, may find optimal exercise, and bound or identify option prices. When the asset market is incomplete, the bounds system from nonlinear pricing functionals.
| Item Type: | Monograph (IIASA Interim Report) |
|---|---|
| Research Programs: | Integrated Modeling Environment (IME) |
| Depositing User: | IIASA Import |
| Date Deposited: | 15 Jan 2016 08:40 |
| Last Modified: | 27 Aug 2021 17:20 |
| URI: | https://pure.iiasa.ac.at/8425 |
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