| 来源类型 | Monograph (IIASA Interim Report) |
| 规范类型 | 报告 |
| Option Pricing by Mathematical Programming. | |
| Flam SD | |
| 发表日期 | 2007 |
| 出版者 | IIASA, Laxenburg, Austria: IR-07-032 |
| 出版年 | 2007 |
| 语种 | 英语 |
| 摘要 | Financial options typically incorporate times of exercise. Alternatively, they embody setup costs or indivisibilities. Such features lead to planning problems with integer decision variables. Provided the sample space be finite, it is shown here that integrality constraints can often be relaxed. In fact, simple mathematical programming, aimed at arbitrage or replication, may find optimal exercise, and bound or identify option prices. When the asset market is incomplete, the bounds system from nonlinear pricing functionals. |
| 主题 | Integrated Modeling Environment (IME) |
| URL | http://pure.iiasa.ac.at/id/eprint/8425/ |
| 来源智库 | International Institute for Applied Systems Analysis (Austria) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/125591 |
| 推荐引用方式 GB/T 7714 | Flam SD. Option Pricing by Mathematical Programming.. 2007. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| IR-07-032.pdf（280KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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