کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
478712 1446132 2010 16 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Expected gain–loss pricing and hedging of contingent claims in incomplete markets by linear programming
موضوعات مرتبط
مهندسی و علوم پایه مهندسی کامپیوتر علوم کامپیوتر (عمومی)
پیش نمایش صفحه اول مقاله
Expected gain–loss pricing and hedging of contingent claims in incomplete markets by linear programming
چکیده انگلیسی

We analyze the problem of pricing and hedging contingent claims in the multi-period, discrete time, discrete state case using the concept of a “λ gain–loss ratio opportunity”. Pricing results somewhat different from, but reminiscent of, the arbitrage pricing theorems of mathematical finance are obtained. Our analysis provides tighter price bounds on the contingent claim in an incomplete market, which may converge to a unique price for a specific value of a gain–loss preference parameter imposed by the market while the hedging policies may be different for different sides of the same trade. The results are obtained in the simpler framework of stochastic linear programming in a multi-period setting, and have the appealing feature of being very simple to derive and to articulate even for the non-specialist. They also extend to markets with transaction costs.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: European Journal of Operational Research - Volume 201, Issue 3, 16 March 2010, Pages 770–785
نویسندگان
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