Expected gain-loss pricing and hedging of contingent claims in incomplete markets by linear programming.
Mustafa Ç. PinarAslihan Altay-SalihAhmet CamciPublished in: Eur. J. Oper. Res. (2010)
Keyphrases
- financial markets
- linear programming
- convertible bonds
- linear program
- option pricing
- stock market
- stock price
- np hard
- quadratic programming
- pricing model
- risk management
- dynamic programming
- worst case bounds
- primal dual
- objective function
- information goods
- missing data
- nonlinear programming
- dynamic pricing
- financial crisis
- uncertain information
- pricing strategies
- network effects
- electronic commerce
- optimal solution