Positivity : an international journal devoted to the theory and applications of positivity in analysis, 2023-07, Vol.27 (3), p.40, Article 40
2023
Volltextzugriff (PDF)
Details
- Autor(en) / Beteiligte
- Titel
- Convex duality for partial hedging of American options: continuous price processes
- Ist Teil von
- Positivity : an international journal devoted to the theory and applications of positivity in analysis, 2023-07, Vol.27 (3), p.40, Article 40
- Ort / Verlag
- Cham: Springer International Publishing
- Erscheinungsjahr
- 2023
- Quelle
- Business Source Ultimate【Trial: -2024/12/31】【Remote access available】
- Beschreibungen/Notizen
- Partial hedging of American options is an interesting minimax problem and in this paper we establish its dual problem that concerns only maximization. The case of a continuous price process is considered under a general incomplete market. Our construction of a duality requires a careful preparation in order to define the dual domain with a compactness property. A key step is an extension of linear functionals preserving norm and positivity.
- Sprache
- Englisch
- Identifikatoren
- ISSN: 1385-1292eISSN: 1572-9281DOI: 10.1007/s11117-023-00993-7Titel-ID: cdi_proquest_journals_2816656091