相关论文: General Duality for Perpetual American Options

We introduce an algorithm for the pricing of finite expiry American options driven by L\'evy processes. The idea is to tweak Carr's `Canadisation' method, cf. Carr [9] (see also Bouchard et al [5]), in such a way that the adjusted algorithm…

We consider the problem of finding a consistent upper price bound for exotic options whose payoff depends on the stock price at two different predetermined time points (e.g. Asian option), given a finite number of observed call prices for…

We consider the robust utility maximization using a static holding in derivatives and a dynamic holding in the stock. There is no fixed model for the price of the stock but we consider a set of probability measures (models) which are not…

The aim of this article is to provide a systematic analysis of the conditions such that Fourier transform valuation formulas are valid in a general framework; i.e. when the option has an arbitrary payoff function and depends on the path of…

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 the classical question of predicting binary sequences and study the {\em optimal} algorithms for obtaining the best possible regret and payoff functions for this problem. The question turns out to be also equivalent to the…

Mean-payoff games on timed automata are played on the infinite weighted graph of configurations of priced timed automata between two players, Player Min and Player Max, by moving a token along the states of the graph to form an infinite…

In online betting, the bookmaker can update the payoffs it offers on a particular event many times before the event takes place, and the updated payoffs may depend on the bets accumulated thus far. We study the problem of bookmaking with…

We investigate how well continuous-time fictitious play in two-player games performs in terms of average payoff, particularly compared to Nash equilibrium payoff. We show that in many games, fictitious play outperforms Nash equilibrium on…

We study optimal perfect distinguishability between a unitary and a general quantum operation. In 2-dimensional case we provide a simple sufficient and necessary condition for sequential perfect distinguishability and an analytical formula…

We study the convex duality method for robust utility maximization in the presence of a random endowment. When the underlying price process is a locally bounded semimartingale, we show that the fundamental duality relation holds true for a…

In a two-player zero-sum graph game the players move a token throughout a graph to produce an infinite path, which determines the winner or payoff of the game. Traditionally, the players alternate turns in moving the token. In {\em bidding…

Two-player win/lose games of infinite duration are involved in several disciplines including computer science and logic. If such a game has deterministic winning strategies, one may ask how simple such strategies can get. The answer may…

We study the upper and lower bounds for prices of European and American style options with the possibility of an external termination, meaning that the contract may be terminated at some random time. Under the assumption that the underlying…

In computing, as in many aspects of life, changes incur cost. Many optimization problems are formulated as a one-time instance starting from scratch. However, a common case that arises is when we already have a set of prior assignments, and…

We revisit the classical phenomenon of duality between random integer-valued height functions with positive definite potentials and abelian spin models with O(2) symmetry. We use it to derive new results in quite high generality including:…

The existence and uniqueness of probabilistic solutions of variational inequalities for the general American options are proved under the hypothesis of hypoellipticity of the infinitesimal generator of the underlying diffusion process which…

We study the optimal multiple stopping time problem defined for each stopping time $S$ by $v(S)=\operatorname {ess}\sup_{\tau_1,...,\tau_d\geq S}E[\psi(\tau_1,...,\tau_d)|\mathcal{F}_S]$. The key point is the construction of a new reward…

In this paper, we solve the constant-payoff conjecture formulated by Sorin, Venel and Vigeral (2010), for absorbing games with an arbitrary evaluation of the stage rewards. That is, the existence of a pair of asymptotically optimal…

We study the Option pricing with linear investment strategy based on discrete time trading of the underlying security, which unlike the existing continuous trading models provides a feasible real market implementation. Closed form formulas…