Superreplication when trading at market indifference prices (Q261922): Difference between revisions
From MaRDI portal
Created a new Item |
ReferenceBot (talk | contribs) Changed an Item |
||
(5 intermediate revisions by 4 users not shown) | |||
Property / review text | |||
The paper focuses on the nonlinear large investor model with market indifference prices. The model does not postulate a local cost term depending on the size of the current transaction which would be attributed to a temporary market impact. Instead, market indifference prices are viewed as a way to specify systematically the permanent price impact of the transaction. In this framework, efficient friction is reduced to the mild requirement that large positions of the investor potentially lead to large losses, a fact from which the existence of superreplicating strategies is derived. Efficient friction is established under a tail condition on the conditional distributions of the traded securities. It is also proved that strict monotonicity of the conditional essential infima and suprema of the security prices is sufficient for efficient friction. The main results are illustrated with several examples. | |||
Property / review text: The paper focuses on the nonlinear large investor model with market indifference prices. The model does not postulate a local cost term depending on the size of the current transaction which would be attributed to a temporary market impact. Instead, market indifference prices are viewed as a way to specify systematically the permanent price impact of the transaction. In this framework, efficient friction is reduced to the mild requirement that large positions of the investor potentially lead to large losses, a fact from which the existence of superreplicating strategies is derived. Efficient friction is established under a tail condition on the conditional distributions of the traded securities. It is also proved that strict monotonicity of the conditional essential infima and suprema of the security prices is sufficient for efficient friction. The main results are illustrated with several examples. / rank | |||
Normal rank | |||
Property / reviewed by | |||
Property / reviewed by: Yuliya S. Mishura / rank | |||
Normal rank | |||
Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 91G20 / rank | |||
Normal rank | |||
Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 60G51 / rank | |||
Normal rank | |||
Property / zbMATH DE Number | |||
Property / zbMATH DE Number: 6560420 / rank | |||
Normal rank | |||
Property / zbMATH Keywords | |||
utility indifference prices | |||
Property / zbMATH Keywords: utility indifference prices / rank | |||
Normal rank | |||
Property / zbMATH Keywords | |||
large investor | |||
Property / zbMATH Keywords: large investor / rank | |||
Normal rank | |||
Property / zbMATH Keywords | |||
large losses | |||
Property / zbMATH Keywords: large losses / rank | |||
Normal rank | |||
Property / zbMATH Keywords | |||
superreplication | |||
Property / zbMATH Keywords: superreplication / rank | |||
Normal rank | |||
Property / zbMATH Keywords | |||
efficient hedging | |||
Property / zbMATH Keywords: efficient hedging / rank | |||
Normal rank | |||
Property / zbMATH Keywords | |||
discretely monitored Lévy process models | |||
Property / zbMATH Keywords: discretely monitored Lévy process models / rank | |||
Normal rank | |||
Property / MaRDI profile type | |||
Property / MaRDI profile type: MaRDI publication profile / rank | |||
Normal rank | |||
Property / OpenAlex ID | |||
Property / OpenAlex ID: W1768613832 / rank | |||
Normal rank | |||
Property / arXiv ID | |||
Property / arXiv ID: 1310.3113 / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: The stochastic field of aggregate utilities and its saddle conjugate / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: A model for a large investor trading at market indifference prices. II: Continuous-time case. / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: A model for a large investor trading at market indifference prices. I: Single-period case / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: A super-replication theorem in Kabanov's model of transaction costs / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Liquidity risk and arbitrage pricing theory / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Option hedging for small investors under liquidity costs / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Hedging contingent claims with constrained portfolios / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: A closed-form solution to the problem of super-replication under transaction costs / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Asset equilibria in \(L^ p\) spaces with complete markets: A duality approach / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Duality and convergence for binomial markets with friction / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Optional decompositions under constraints / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Stochastic Finance / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: LIQUIDITY IN A BINOMIAL MARKET / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Hedging, arbitrage and optimality with superlinear frictions / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Consistent price systems and face-lifting pricing under transaction costs / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: ARBITRAGE IN SECURITIES MARKETS WITH SHORT-SALES CONSTRAINTS / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Markets with transaction costs. Mathematical theory. / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Q4550915 / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Non-arbitrage criteria for financial markets with efficient friction / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Optional decomposition of supermartingales and hedging contingent claims in incomplete security markets / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: There is no nontrivial hedging portfolio for option pricing with transaction costs / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Option Pricing in Stochastic Volatility Models of the Ornstein‐Uhlenbeck type / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: SUPERHEDGING IN ILLIQUID MARKETS / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Dual representation of superhedging costs in illiquid markets / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Large liquidity expansion of super-hedging costs / rank | |||
Normal rank | |||
links / mardi / name | links / mardi / name | ||
Latest revision as of 16:59, 11 July 2024
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | Superreplication when trading at market indifference prices |
scientific article |
Statements
Superreplication when trading at market indifference prices (English)
0 references
29 March 2016
0 references
The paper focuses on the nonlinear large investor model with market indifference prices. The model does not postulate a local cost term depending on the size of the current transaction which would be attributed to a temporary market impact. Instead, market indifference prices are viewed as a way to specify systematically the permanent price impact of the transaction. In this framework, efficient friction is reduced to the mild requirement that large positions of the investor potentially lead to large losses, a fact from which the existence of superreplicating strategies is derived. Efficient friction is established under a tail condition on the conditional distributions of the traded securities. It is also proved that strict monotonicity of the conditional essential infima and suprema of the security prices is sufficient for efficient friction. The main results are illustrated with several examples.
0 references
utility indifference prices
0 references
large investor
0 references
large losses
0 references
superreplication
0 references
efficient hedging
0 references
discretely monitored Lévy process models
0 references
0 references
0 references
0 references
0 references