Option pricing by mathematical programming

被引：7

作者：

Flam, S. D. ^{[1
]}

机构：

[1] Univ Bergen, Dept Econ, N-5007 Bergen, Norway

来源：

OPTIMIZATION | 2008年 / 57卷 / 01期

关键词：

asset pricing; combinatorial optimization; totally unimodular matrices; AMERICAN OPTIONS; DUALITY; UTILITY;

D O I：

10.1080/02331930701779054

中图分类号：

C93 [管理学]; O22 [运筹学];

学科分类号：

070105 ; 12 ; 1201 ; 1202 ; 120202 ;

摘要：

Financial options typically incorporate times of exercise. Alternatively, they embody set-up 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 stem from non-linear pricing functionals.

引用

页码：165 / 182

页数：18

共 31 条

[1] Primal-dual simulation algorithm for pricing multidimensional American options [J].