Linear Vector Optimization and European Option Pricing Under Proportional Transaction Costs

DOI10.1007/978-3-662-48670-2_5zbMath1337.49072arXiv1407.5877OpenAlexW2217057783MaRDI QIDQ2805756

Alet Roux, Zastawniak, Tomasz

Publication date: 13 May 2016

Published in: Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1407.5877

zbMATH Keywords

option pricingtransaction costsgeometric dualitysuperhedginglinear vector optimisation

Mathematics Subject Classification ID

Applications of optimal control and differential games (49N90) Financial applications of other theories (91G80) Duality theory (optimization) (49N15)

Related Items

Equivalence between polyhedral projection, multiple objective linear programming and vector linear programming

Uses Software

• PPL
• Convex
• PolyLib
• BENSOLVE

Cites Work

• On duality in multiple objective linear programming
• Options under proportional transaction costs: An algorithmic approach to pricing and hedging
• An outer approximation algorithm for generating all efficient extreme points in the outcome set of a multiple objective linear programming problem
• Hedging and liquidation under transaction costs in currency markets
• Non-arbitrage criteria for financial markets with efficient friction
• Geometric Duality for Convex Vector Optimization Problems
• Duality for Set-Valued Measures of Risk
• Geometric Duality in Multiple Objective Linear Programming
• The decoupling approach to binomial pricing of multi-asset options
• The Fundamental Theorem of Asset Pricing under Proportional Transaction Costs in Finite Discrete Time
• The Harrison-Pliska arbitrage pricing theorem under transaction costs