An integer programming model for pricing American contingent claims under transaction costs
M. Ç. Pınar; A. Camcı
| Year of publication: |
2012
|
|---|---|
| Authors: | Pınar, M. Ç. ; Camcı, A. |
| Published in: |
Computational economics. - Dordrecht [u.a.] : Springer, ISSN 0927-7099, ZDB-ID 1142021-2. - Vol. 39.2012, 1, p. 1-12
|
| Subject: | Transaktionskosten | Transaction costs | Optionspreistheorie | Option pricing theory | Mathematische Optimierung | Mathematical programming | Hedging | Ganzzahlige Optimierung | Integer programming |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10009508053