Zobrazeno 1 - 10
of 745
pro vyhledávání: '"Super-hedging"'
Super-hedging-pricing formulas and Immediate-Profit arbitrage for market models under random horizon
Autor:
Choulli, Tahir, Lepinette, Emmanuel
In this paper, we consider the discrete-time setting, and the market model described by (S,F,T)$. Herein F is the ``public" flow of information which is available to all agents overtime, S is the discounted price process of d-tradable assets, and T i
Externí odkaz:
http://arxiv.org/abs/2401.05713
We solve the problem of super-hedging European or Asian options for discrete-time financial market models where executable prices are uncertain. The risky asset prices are not described by single-valued processes but measurable selections of random s
Externí odkaz:
http://arxiv.org/abs/2311.08847
A short note on super-hedging an arbitrary number of European options with integer-valued strategies
The usual theory of asset pricing in finance assumes that the financial strategies, i.e. the quantity of risky assets to invest, are real-valued so that they are not integer-valued in general, see the Black and Scholes model for instance. This is cle
Externí odkaz:
http://arxiv.org/abs/2311.08871
Akademický článek
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We consider a multi-asset incomplete model of the financial market, where each of $m\geq 2$ risky assets follows the binomial dynamics, and no assumptions are made on the joint distribution of the risky asset price processes. We provide explicit form
Externí odkaz:
http://arxiv.org/abs/2301.02912
Autor:
Bouchard, Bruno, Tan, Xiaolu
We prove a robust super-hedging duality result for path-dependent options on assets with jumps, in a continuous time setting. It requires that the collection of martingale measures is rich enough and that the payoff function satisfies some continuity
Externí odkaz:
http://arxiv.org/abs/2004.11105
Autor:
Bouchard, Bruno1 (AUTHOR) bouchard@ceremade.dauphine.fr, Tan, Xiaolu2 (AUTHOR)
Publikováno v:
Finance & Stochastics. Jul2021, Vol. 25 Issue 3, p505-528. 24p.
Autor:
Badikov, Sergey1 (AUTHOR), Davis, Mark H.A.1 (AUTHOR), Jacquier, Antoine2 (AUTHOR) a.jacquier@imperial.ac.uk
Publikováno v:
Mathematical Finance. Oct2021, Vol. 31 Issue 4, p1240-1274. 35p.
We investigate the links between various no-arbitrage conditions and the existence of pricing functionals in general markets, and prove the Fundamental Theorem of Asset Pricing therein. No-arbitrage conditions, either in this abstract setting or in t
Externí odkaz:
http://arxiv.org/abs/1806.03543
Autor:
Bayraktar, Erhan, Zhou, Zhou
We consider the super-hedging price of an American option in a discrete-time market in which stocks are available for dynamic trading and European options are available for static trading. We show that the super-hedging price $\pi$ is given by the su
Externí odkaz:
http://arxiv.org/abs/1604.04608