Option Pricing by Mathematical Programming

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http://eprints.org/relation/isVersionOf https://pure.iiasa.ac.at/id/document/13149 http://eprints.org/relation/isVolatileVersionOf https://pure.iiasa.ac.at/id/document/13149 http://eprints.org/relation/isCoversheetVersionOf https://pure.iiasa.ac.at/id/document/13149 archive 351 disk0/00/00/84/25 2016-01-15 08:40:29 2021-08-27 17:20:10 2016-01-15 08:40:29 monograph show 2 Flam S.D. 8081 Option Pricing by Mathematical Programming pub iis_ecn iis_mod iis_met prog_ime 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. 2007 published IR-07-032 IR-07-032 1255 public interim_report IIASA, Laxenburg, Austria 24 FALSE info:eu-repo/semantics/book