Details

Autor(en) / Beteiligte

• Perkkiö, Ari-Pekka
• Treviño-Aguilar, Erick

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

SpringerLink

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.