Publications

BibTex format

@article{Jacquier:2021:10.1111/mafi.12321,
author = {Jacquier, A and Badikov, S and Davis, M},
doi = {10.1111/mafi.12321},
journal = {Mathematical Finance},
pages = {1240--1274},
title = {Perturbation analysis of sub/super hedging problems},
url = {http://dx.doi.org/10.1111/mafi.12321},
volume = {31},
year = {2021}
}

Download

RIS format (EndNote, RefMan)

TY  - JOUR
AB  - 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 also introduce a rigorous perturbation analysis of these linear programing problems, and highlight numerically the influence of smile extrapolation on the bounds of exotic options.
AU  - Jacquier,A
AU  - Badikov,S
AU  - Davis,M
DO  - 10.1111/mafi.12321
EP  - 1274
PY  - 2021///
SN  - 0960-1627
SP  - 1240
TI  - Perturbation analysis of sub/super hedging problems
T2  - Mathematical Finance
UR  - http://dx.doi.org/10.1111/mafi.12321
UR  - https://onlinelibrary.wiley.com/doi/10.1111/mafi.12321
UR  - http://hdl.handle.net/10044/1/89860
VL  - 31
ER  -

Download

ProfessorJackJacquier

Contact

Location

Summary

Citation

BibTex format

RIS format (EndNote, RefMan)