Browsing by Author "King, Alan J."

Now showing items 1-4 of 4

2001-04-20Buch

A multi-stage stochastic integer programming approach for capacity expansion under uncertainty

Ahmed, Shabbir; King, Alan J.; Parija, Gyana

This paper addresses a multi-period investment model for capacity expansion in an uncertain environment. Using a scenario tree approach to model the evolution of uncertain demand and cost parameters, and fixed-charge cost ...
2004-05-21Buch

Arbitrage pricing of American contingent claims in incomplete markets - a convex optimization approach

Pennanen, Teemu; King, Alan J.

Convex optimization provides a natural framework for pricing and hedging financial instruments in incomplete market models. Duality theory of convex optimization has been shown to yield elementary proofs of well-known ...
2003-03-13Buch

Calibrated option bounds

King, Alan J.; Koivu, Matti; Pennanen, Teemu

This paper proposes a numerical approach for computing bounds for the arbitrage-free prices of an option when some options are available for trading. Convex duality reveals a close relationship with recently proposed ...
2001-11-13Buch

Martingale pricing measures in incomplete markets via stochastic programming duality in the dual of L ∞

King, Alan J.; Korf, Lisa A.

We propose a new framework for analyzing pricing theory for incomplete markets and contingent claims, using conjugate duality and optimization theory. Various statements in the literature of the fundamental theorem of asset ...