Perturbation analysis of sub/super hedging problems

نویسندگان

چکیده

We investigate the links between various no-arbitrage conditions and existence of pricing functionals in general markets, prove Fundamental Theorem Asset Pricing therein. No-arbitrage conditions, either this abstract setting or case a market consisting European Call options, give rise to duality properties infinite-dimensional sub- super-hedging problems. With view towards applications, we show how is preserved when reducing these problems over finite-dimensional bases. also introduce rigorous perturbation analysis linear programing problems, highlight numerically influence smile extrapolation on bounds exotic options.

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ژورنال

عنوان ژورنال: Mathematical Finance

سال: 2021

ISSN: ['0960-1627', '1467-9965']

DOI: https://doi.org/10.1111/mafi.12321