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An Integer Programming Model for Pricing American Contingent Claims under Transaction Costs

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  • M. Pınar

    ()

  • A. Camcı

    ()

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    Abstract

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    File URL: http://hdl.handle.net/10.1007/s10614-010-9209-z
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    Bibliographic Info

    Article provided by Society for Computational Economics in its journal Computational Economics.

    Volume (Year): 39 (2012)
    Issue (Month): 1 (January)
    Pages: 1-12

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    Handle: RePEc:kap:compec:v:39:y:2012:i:1:p:1-12

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    Web page: http://www.springerlink.com/link.asp?id=100248
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    Related research

    Keywords: American Contingent Claims; Transaction Costs; Mixed-integer Programming; Linear Programming; Martingales; Incomplete Markets; Pricing; Hedging; Dividends;

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    1. Tokarz, Krzysztof & Zastawniak, Tomasz, 2006. "American contingent claims under small proportional transaction costs," Journal of Mathematical Economics, Elsevier, vol. 43(1), pages 65-85, December.
    2. Edirisinghe, Chanaka & Naik, Vasanttilak & Uppal, Raman, 1993. "Optimal Replication of Options with Transactions Costs and Trading Restrictions," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 28(01), pages 117-138, March.
    3. Ioannis Karatzas & (*), S. G. Kou, 1998. "Hedging American contingent claims with constrained portfolios," Finance and Stochastics, Springer, vol. 2(3), pages 215-258.
    4. Temam, Emmanuel & Bouchard, Bruno, 2005. "On the Hedging of American Options in Discrete Time Markets with Proportional Transaction Costs," Economics Papers from University Paris Dauphine 123456789/1805, Paris Dauphine University.
    5. Bruno Bouchard & Emmanuel Temam, 2005. "On the Hedging of American Options in Discrete Time Markets with Proportional Transaction Costs," Papers math/0502189, arXiv.org.
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