Showing 81 - 90 of 106
Motivated by applications to bond markets, we propose a multivariate framework for discrete time financial markets with proportional transaction costs and a countable infinite number of tradable assets. We show that the no-arbitrage of second kind property (NA2 in short), recently introduced by...
Persistent link: https://www.econbiz.de/10008531756
Motivated by an optimal investment problem under time horizon uncertainty and when default may occur, we study a general structure for an incomplete semimartingale model extending the classical terminal wealth utility maximization problem. This modelling leads to the formulation of a wealth-path...
Persistent link: https://www.econbiz.de/10005184365
Standard models for fi…nancial markets are based on the simplifying assumption that trading orders can be given and executed in continuous time with no friction. This assumption is clearly a strong idealization of the reality. In particular, securities should not be described by a single price...
Persistent link: https://www.econbiz.de/10010550928
We consider a continuous time multivariate financial market with proportional transaction costs and study the problem of finding the minimal initial capital needed to hedge, without risk, European-type contingent claims. The model is similar to the one considered in Bouchard and Touzi [B....
Persistent link: https://www.econbiz.de/10008873737
Let Zt,z[nu] be a -valued mixed diffusion process controlled by [nu] with initial condition Zt,z[nu](t)=z. In this paper, we characterize the set of initial conditions such that Zt,z[nu] can be driven above a given stochastic target at time T by proving that the corresponding value function is a...
Persistent link: https://www.econbiz.de/10008874207
We study the discrete-time approximation of the solution (Y,Z,K) of a reflected BSDE. As in Ma and Zhang [J. Ma, J. Zhang, Representations and regularities for solutions to BSDEs with reflections, Stochastic Processes and their Applications 115 (2005) 539-569], we consider a Markovian setting...
Persistent link: https://www.econbiz.de/10008874222
We provide a dynamic programming principle for stochastic optimal control problems with expectation constraints. A weak formulation, using test functions and a probabilistic relaxation of the constraint, avoids restrictions related to a measurable selection but still implies the...
Persistent link: https://www.econbiz.de/10009021661
The aim of this thesis is to investigate some solutions to the pricing of contingent claims in incomplete markets. We first consider the stochastic targetintroduced by Soner and Touzi (2002) for the general super-replication problem, and extended by Bouchard, Elie and Touzi (2009) in order to...
Persistent link: https://www.econbiz.de/10010705818
We consider a multivariate financial market with proportional transaction costs as in Kabanov (1999). We study the problem of contingent claim pricing via utility maximization as in Hodges and Neuberger (1989). Using an exponential utility function, we derive a closed form characterization for...
Persistent link: https://www.econbiz.de/10010706365
The aim of this paper is to discuss efficient algorithms for the pricing of American options by two recently proposed Monte-Carlo type methods, namely the Malliavian calculus and the regression based approaches. We explain how both technics can be exploded with improved complexity and...
Persistent link: https://www.econbiz.de/10010706399