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| Main Authors: | , |
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| Format: | Preprint |
| Published: |
2024
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| Subjects: | |
| Online Access: | https://arxiv.org/abs/2411.19206 |
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| _version_ | 1866918392364007424 |
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| author | Chau, Huy N. Rasonyi, Miklos |
| author_facet | Chau, Huy N. Rasonyi, Miklos |
| contents | In this paper, a new approach for solving the problems of pricing and hedging derivatives is introduced in a general frictionless market setting. The method is applicable even in cases where an equivalent local martingale measure fails to exist. Our main results include a new superhedging duality for American options when wealth processes can be negative and trading strategies are subject to a cone constraint. This answers one of the questions raised by Fernholz, Karatzas and Kardaras. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2411_19206 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | A general framework for pricing and hedging under local viability Chau, Huy N. Rasonyi, Miklos Pricing of Securities In this paper, a new approach for solving the problems of pricing and hedging derivatives is introduced in a general frictionless market setting. The method is applicable even in cases where an equivalent local martingale measure fails to exist. Our main results include a new superhedging duality for American options when wealth processes can be negative and trading strategies are subject to a cone constraint. This answers one of the questions raised by Fernholz, Karatzas and Kardaras. |
| title | A general framework for pricing and hedging under local viability |
| topic | Pricing of Securities |
| url | https://arxiv.org/abs/2411.19206 |