On a multi-assets Black-Scholes economy, we introduce a class of barrier options, where the knock-out boundary is a cone. In this model we apply a generalized reflection principle in a context of the finite reflection group acting on a Euclidean space to give a valuation formula and the...

We show that the recent results on the Fundamental Theorem of Asset Pricing and the super-hedging theorem in the context of model uncertainty can be extended to the case in which the options available for static hedging (hedging options) are quoted with bid-ask spreads. In this set-up, we need...

How to initialize an algorithm to solve an optimization problem is of great theoretical and practical importance. In the simplex method for linear programming this issue is resolved by either the two-phase approach or using the so-called big M technique. In the interior point method, there is a...

This paper considers the problem of minimizing a linear function over the intersection of an affine space with a closed convex cone. In the first half of the paper, we give a detailed study of duality properties of this problem and present examples to illustrate these properties. In particular,...

We introduce a new solution for bankruptcy problems that satisfies weaker versions of the Exemption en Exclusion properties from the literature. Although the principles of Exclusion and Exemption are appealing, the specific conditions under which an agent receives its claim, respectively...

We define a duality of solutions in coalitional games that we call a twisted duality. This twisted duality extends the rule of self-duality in bankruptcy problems. After showing that the prekernel and prenucleolus exhibit twisted duality, we define a twisted reduced game property and...

A pair of Mond–Weir type nondifferentiable second-order symmetric primal and dual problems in mathematical programming is formulated. Weak duality, strong duality, and converse duality theorems are established under η-pseudobonvexity assumptions. Symmetric minimax mixed integer primal and...

In this study we define a cost-sharing rule for cost-sharing problems. This rule is related to the serial cost-sharing rule defined by Moulin and Shenker (Econometrica 60:1009–1037, <CitationRef CitationID="CR6">1992</CitationRef>). We give some formulas and axiomatic characterizations for the new rule. The axiomatic characterizations...</citationref>

We study a particular collective choice problem, that of allocating chances of success. We argue that many problems of interest have this nature, from small scale problems like medical triage to large scale ones like the allocation of opportunities in society. We consider both finite and...