A convex duality approach for pricing contingent claims under partial information and short selling constraints
From MaRDI portal
Publication:2974045
DOI10.1080/07362994.2016.1255147zbMath1365.49033arXiv1902.10492OpenAlexW2565945761MaRDI QIDQ2974045
Publication date: 6 April 2017
Published in: Stochastic Analysis and Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1902.10492
mathematical financepricingpartial informationconjugate dualityconstraint stochastic optimization problem
Convex programming (90C25) Optimality conditions and duality in mathematical programming (90C46) Stochastic programming (90C15) Stochastic models in economics (91B70) Optimal stochastic control (93E20) Duality theory (optimization) (49N15)
Related Items
Management of a hydropower system via convex duality, Incorporating statistical model error into the calculation of acceptability prices of contingent claims
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Introduction to convex optimization in financial markets
- No-arbitrage in discrete-time markets with proportional transaction costs and general information structure
- Continuous-time stochastic control and optimization with financial applications
- Hedging contingent claims with constrained portfolios
- Optional decompositions under constraints
- Hedging American contingent claims with constrained portfolios
- Necessary and sufficient conditions in the problem of optimal investment in incomplete markets
- The asymptotic elasticity of utility functions and optimal investment in incomplete markets
- Duality and martingales: a stochastic programming perspective on contingent claims
- Regularity and conditioning of solution mappings in variational analysis
- Stochastic programs without duality gaps
- Dual representation of superhedging costs in illiquid markets
- The fundamental theorem of asset pricing, the hedging problem and maximal claims in financial markets with short sales prohibitions
- No-arbitrage criteria for financial markets with transaction costs and incomplete information
- Convex Duality in Stochastic Optimization and Mathematical Finance
- A dual representation of gain–loss hedging for European claims in discrete time
- ARBITRAGE IN SECURITIES MARKETS WITH SHORT-SALES CONSTRAINTS
- Dual Valuation and Hedging of Bermudan Options
- Lectures on Stochastic Programming
- Gain-loss pricing under ambiguity of measure
- DUALITY IN OPTIMAL INVESTMENT AND CONSUMPTION PROBLEMS WITH MARKET FRICTIONS
- State Constraints in Convex Control Problems of Bolza
