Convex duality for partial hedging of American options: continuous price processes

Perkkiö, Ari-Pekka und Treviño-Aguilar, Erick (2023): Convex duality for partial hedging of American options: continuous price processes. In: Positivity, Bd. 27, 40

Abstract

Partial hedging of American options is an interesting minimax problem and in this paper we establish its dual problem that concerns only maximization. The case of a continuous price process is considered under a general incomplete market. Our construction of a duality requires a careful preparation in order to define the dual domain with a compactness property. A key step is an extension of linear functionals preserving norm and positivity.

• Dokumententyp: Zeitschriftenartikel
• Fakultät: Mathematik, Informatik und Statistik > Mathematik > Finanz- und Versicherungsmathematik
• Themengebiete: 500 Naturwissenschaften und Mathematik > 510 Mathematik
• ISSN: 1385-1292
• Sprache: Englisch