Lower hedging of American contingent claims with minimal surplus risk in finite-state financial markets by mixed-integer linear programming.
Mustafa Ç. PinarPublished in: Discret. Appl. Math. (2014)
Keyphrases
- financial markets
- finite state
- mixed integer linear programming
- risk management
- black scholes
- markov chain
- branch and bound algorithm
- cutting plane
- portfolio theory
- mathematical programming
- stock market
- markov decision processes
- mixed integer
- investment strategies
- stock price
- production planning
- model checking
- optimal policy
- portfolio selection
- decision support system
- lower bound
- upper bound
- decision making
- branch and bound
- trading systems
- integer programming
- option pricing
- column generation
- sufficient conditions