相关论文: General Duality for Perpetual American Options

We consider the problem of pricing American Exchange options driven by a L\'evy process. We study the properties of American Exchange options, we represented it as the sum of the price of the corresponding European exchange option price and…

We present a parallel algorithm that computes the ask and bid prices of an American option when proportional transaction costs apply to the trading of the underlying asset. The algorithm computes the prices on recombining binomial trees,…

We consider the Monge-Kantorovich transport problem in an abstract measure theoretic setting. Our main result states that duality holds if $c:X\times Y\to [0,\infty)$ is an arbitrary Borel measurable cost function on the product of Polish…

In mean-payoff games, the objective of the protagonist is to ensure that the limit average of an infinite sequence of numeric weights is nonnegative. In energy games, the objective is to ensure that the running sum of weights is always…

We consider an optimal stopping time problem related with many models found in real options problems. The main goal of this work is to bring for the field of real options, different and more realistic pay-off functions, and negative…

In this paper, we study the dual representation for generalized multiple stopping problems, hence the pricing problem of general multiple exercise options. We derive a dual representation which allows for cashflows which are subject to…

This article studies convex duality in stochastic optimization over finite discrete-time. The first part of the paper gives general conditions that yield explicit expressions for the dual objective in many applications in operations…

Electromagnetic duality of Maxwell theory is a symmetry of equations but not of the action. The usual application of the `complexity=action' conjecture would thus loose this duality. It was recently proposed in arxiv:1901.00014 that the…

The presence of discrete dividends complicates the derivation and form of pricing formulas even for vanilla options. Existing analytic, numerical, and theoretical approximations provide results of varying quality and performance. Here, we…

This talk presents work concepts and results for the determination of the fine structure constant $\alpha$ at the $Z_0$ mass resonance. The problem consisting of the break-down of global duality for singular integral weights is circumvented…

In this paper, we are concerned with the valuation of Guaranteed Annuity Options (GAOs) under the most generalised modelling framework where both interest and mortality rates are stochastic and correlated. Pricing these type of options in…

Investigating for interior regularity of viscosity solutions to the fully nonlinear elliptic equation $$F(x,u,\triangledown u,\triangledown ^2 u)=0,$$ we establish the interior $C^{1+1}$ continuity under the assumptions that $F$ is…

In 2002, Benjamin Jourdain and Claude Martini discovered that for a class of payoff functions, the pricing problem for American options can be reduced to pricing of European options for an appropriately associated payoff, all within a…

We prove two duality descriptions of the value function for a generic stochastic optimal problem. These descriptions also hold when the diffusion is controlled, a case left open by the literature so far.

Double auctions are widely used in financial markets, such as those for stocks, derivatives, currencies, and commodities, to match demand and supply. Once all buyers and sellers have placed their trade requests, the exchange determines how…

This paper proposes a general duality framework for the problem of minimizing a convex integral functional over a space of stochastic processes adapted to a given filtration. The framework unifies many well-known duality frameworks from…

Mechanism design is addressed in the context of fair allocations of indivisible goods with monetary compensation. Motivated by a real-world social choice problem, mechanisms with verification are considered in a setting where (i) agents'…

A time-dependent double-barrier option is a derivative security that delivers the terminal value $\phi(S_T)$ at expiry $T$ if neither of the continuous time-dependent barriers $b_\pm:[0,T]\to \RR_+$ have been hit during the time interval…

This paper studies a two-person trading game in continuous time that generalizes Garivaltis (2018) to allow for stock prices that both jump and diffuse. Analogous to Bell and Cover (1988) in discrete time, the players start by choosing fair…

The semigroup game is a two-person zero-sum game defined on a semigroup S as follows: Players 1 and 2 choose elements x and y in S, respectively, and player 1 receives a payoff f(xy) defined by a function f from S to [-1,1]. If the…