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540:691 SEMINAR IN INDUSTRIAL & SYSTEMS ENGINEERING |
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Pricing
American Contingent Claims Dr.
Mustafa C. Pinar Abstract: In this talk I consider pricing of American contingent claims (ACC) and also different types of contingent claims as special cases of ACC's, in a multi-period, discrete time, discrete state space setting. Determining the buyer's price for ACC's requires solving an integer program unlike European contingent claims for which solving a linear program is sufficient. However, I show that a relaxation of the integer programming problem which is a linear program, can be used to get the same lower bound for the price of the ACC. Therefore, solving a linear program is essentially enough to compute the fiar price to the buyer of the option. This is joint work with Ahmet Camci from Bilkent University.
Speaker is hosted by Melike Baykal-Gursoy Tel:
732-445-5465, Email: gursoy@rci.rutgers.edu
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CoRE Building |
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