Publications of Camci, A.
2011
| and , An Integer Programming Model for Pricing American Contingent Claims under Transaction Costs (2011), in: Computational Economics |
2010
| , and , Expected gain-loss pricing and hedging of contingent claims in incomplete markets by linear programming (2010), in: European J of Operational Research, 201(770-785) |
| , and , Expected gain-loss pricing and hedging of contingent claims in incomplete markets by linear programming (2010), in: European J of Operational Research, 201(770-785) |
| and , Pricing American contingent claims by stochastic linear programming (2010), in: Optimization, 58(627-640) |
2008
| , and , An improved probability bound for the Approximate S-Lemma (2008), in: Operations Research Letters, 35(743-746) |