Perturbation analysis of sub/super hedging problems

Autor:	Badikov, Sergey, Davis, Mark H. A., Jacquier, Antoine
Rok vydání:	2018
Předmět:	Quantitative Finance - Mathematical Finance Mathematics - Probability 90C05 90C46 91G20 46N10
Druh dokumentu:	Working Paper
Popis:	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 the case of a market consisting of European Call options, give rise to duality properties of infinite-dimensional sub- and super-hedging problems. With a view towards applications, we show how duality is preserved when reducing these problems over finite-dimensional bases. We finally perform a rigorous perturbation analysis of those linear programming problems, and highlight numerically the influence of smile extrapolation on the bounds of exotic options. Comment: 26 pages. Forthcoming in Mathematical Finance
Databáze:	arXiv
Externí odkaz:	http://arxiv.org/abs/1806.03543 Zobrazit plný text záznamu View this record from Arxiv