相关论文: General Duality for Perpetual American Options

In this paper we study perpetual American call and put options in an exponential L\'evy model. We consider a negative effective discount rate which arises in a number of financial applications including stock loans and real options, where…

In several standard models of dynamic programming (gambling houses, MDPs, POMDPs), we prove the existence of a very robust notion of value for the infinitely repeated problem, namely the pathwise uniform value. This solves two open…

We study the set of (stationary) feasible payoffs of overlapping generation repeated games that can be achieved by action sequences in which every generation of players plays the same sequence of action profiles. First, we completely…

We consider the pricing of American put options in a model-independent setting: that is, we do not assume that asset prices behave according to a given model, but aim to draw conclusions that hold in any model. We incorporate market…

We develop a method to solve, theoretically and numerically, general optimal stopping problems. Our general setting allows for multiple exercise rights, i.e., optimal multiple stopping, for a robust evaluation that accounts for model…

In this paper, we extend the 3/2-model for VIX studied by Goard and Mazur (2013) and introduce the generalized 3/2 and 1/2 classes of volatility processes. Under these models, we study the pricing of European and American VIX options and,…

We introduce a new method to price American options based on Chebyshev interpolation. In each step of a dynamic programming time-stepping we approximate the value function with Chebyshev polynomials. The key advantage of this approach is…

In this work we generalize standard Decision Theory by assuming that two outcomes can also be incomparable. Two motivating scenarios show how incomparability may be helpful to represent those situations where, due to lack of information,…

In spite of the growing consideration for optimal execution in the financial mathematics literature, numerical approximations of optimal trading curves are almost never discussed. In this article, we present a numerical method to…

We study approachability theory in the presence of constraints. Given a repeated game with vector payoffs, we characterize the pairs of sets (A,D) in the payoff space such that Player 1 can guarantee that the long-run average payoff…

We establish the duality-formula for the superreplication price in a setting of volatility uncertainty which includes the example of "random G-expectation." In contrast to previous results, the contingent claim is not assumed to be…

We develop a methodology for closing duality gap and guaranteeing strong duality in infinite convex optimization. Specifically, we examine two new Lagrangian-type dual formulations involving infinitely many dual variables and infinite sums…

The paper is concerned with two-person games with saddle point. We investigate the limits of value functions for long-time-average payoff, discounted average payoff, and the payoff that follows a probability density. Most of our assumptions…

We derive the implied volatility estimation formula in European power call options pricing, where the payoff functions are in the form of $V=(S^{\alpha}_T-K)^{+}$ and $V=(S^{\alpha}_T-K^{\alpha})^{+}$ ($\alpha>0$)respectively. Using…

We develop two alternate approaches to arbitrage-free, market-complete, option pricing. The first approach requires no riskless asset. We develop the general framework for this approach and illustrate it with two specific examples. The…

In persuasion problems where the receiver's action is one-dimensional and his utility is single-peaked, optimal signals are characterized by duality, based on a first-order approach to the receiver's problem. A signal is optimal iff the…

What do binary (or probabilistic) forecasting abilities have to do with overall performance? We map the difference between (univariate) binary predictions, bets and "beliefs" (expressed as a specific "event" will happen/will not happen) and…

Once failure is irreversible, continuation payoffs cannot be meaningfully aggregated across strategies that differ in their survival properties. Standard scalar evaluation sidesteps this by arbitrarily completing payoffs beyond termination,…

In decision problems under incomplete information, actions (identified to payoff vectors indexed by states of nature) and beliefs are naturally paired by bilinear duality. We exploit this duality to analyze the value of information, using…

We construct a statistical ensemble of games, where in each independent subensemble we have two players playing the same game. We derive the mean payoffs per move of the representative players of the game, and we evaluate all the…