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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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  • M. Pınar & A. Camcı, 2012. "An Integer Programming Model for Pricing American Contingent Claims under Transaction Costs," Computational Economics, Springer;Society for Computational Economics, vol. 39(1), pages 1-12, January.
    • Handle: RePEc:kap:compec:v:39:y:2012:i:1:p:1-12
    DOI: 10.1007/s10614-010-9209-z
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    References listed on IDEAS

    as
    1. Rainer Buckdahn & Ying Hu, 1998. "Pricing of American Contingent Claims with Jump Stock Price and Constrained Portfolios," Mathematics of Operations Research, INFORMS, vol. 23(1), pages 177-203, February.
    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(1), pages 117-138, March.
    3. Bruno Bouchard & Emmanuel Temam, 2005. "On the Hedging of American Options in Discrete Time Markets with Proportional Transaction Costs," Papers math/0502189, arXiv.org.
    4. repec:dau:papers:123456789/1805 is not listed on IDEAS
    5. 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.
    6. Prasad Chalasani & Somesh Jha, 2001. "Randomized Stopping Times and American Option Pricing with Transaction Costs," Mathematical Finance, Wiley Blackwell, vol. 11(1), pages 33-77, January.
    7. Fulvio Ortu, 2001. "Arbitrage, linear programming and martingales¶in securities markets with bid-ask spreads," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 24(2), pages 79-105, November.
    8. Ioannis Karatzas & (*), S. G. Kou, 1998. "Hedging American contingent claims with constrained portfolios," Finance and Stochastics, Springer, vol. 2(3), pages 215-258.
    Full references (including those not matched with items on IDEAS)

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