Fair pricing and hedging under small perturbations of the numéraire on a finite probability space

DOI10.2140/INVOLVE.2022.15.649OpenAlexW4320016700MaRDI QIDQ2681318

Alexey Pozdnyakov, Oleksii Mostovyi, William Busching, Delphine Hintz

Publication date: 8 February 2023

Published in: Involve (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2208.09898

zbMATH Keywords

stabilityasymptotic analysisnuméraireFöllmer-Schweizer decompositionfair pricingconditional fair price

Mathematics Subject Classification ID

Martingales with discrete parameter (60G42) Sensitivity, stability, parametric optimization (90C31) Optimal stochastic control (93E20) Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10) Jump processes on discrete state spaces (60J74)

Cites Work

• Stochastic finance. An introduction in discrete time.
• Interest rate models -- theory and practice. With smile, inflation and credit
• Föllmer-Schweizer decomposition and mean-variance hedging for general claims
• Stability and asymptotic analysis of the Föllmer-Schweizer decomposition on a finite probability space
• Asymptotic analysis of the expected utility maximization problem with respect to perturbations of the numéraire
• Changes of numéraire, changes of probability measure and option pricing
• Local risk minimization and numéraire
• Portfolio Theory and Arbitrage
• On Square Integrable Martingales

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