Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
419106 | Discrete Applied Mathematics | 2014 | 9 Pages |
Abstract
The lower hedging problem with a minimal expected surplus risk criterion in incomplete markets is studied for American claims in finite state financial markets. It is shown that the lower hedging problem with linear expected surplus criterion for American contingent claims in finite state markets gives rise to a non-convex bilinear programming formulation which admits an exact linearization. The resulting mixed-integer linear program can be readily processed by available software.
Related Topics
Physical Sciences and Engineering
Computer Science
Computational Theory and Mathematics
Authors
Mustafa Ç. Pınar,