Results 191 to 200 of about 11,370,086 (322)

The fundamental theorem of asset pricing with and without transaction costs

open access: yesMathematical Finance, Volume 35, Issue 2, Page 567-609, April 2025.
Abstract We prove a version of the fundamental theorem of asset pricing (FTAP) in continuous time that is based on the strict no‐arbitrage condition and that is applicable to both frictionless markets and markets with proportional transaction costs. We consider a market with a single risky asset whose ask price process is higher than or equal to its ...
Christoph Kühn
wiley   +1 more source

Lorentzian bordisms in algebraic quantum field theory. [PDF]

open access: yesLett Math Phys
Bunk S, MacManus J, Schenkel A.
europepmc   +1 more source

Spanning Multi‐Asset Payoffs With ReLUs

open access: yesMathematical Finance, EarlyView.
ABSTRACT We propose a distributional formulation of the spanning problem of a multi‐asset payoff by vanilla basket options. This problem is shown to have a unique solution if and only if the payoff function is even and absolutely homogeneous, and we establish a Fourier‐based formula to calculate the solution.
Sébastien Bossu   +2 more
wiley   +1 more source

A Pure Dual Approach for Hedging Bermudan Options

open access: yesMathematical Finance, EarlyView.
ABSTRACT This paper develops a new dual approach to compute the hedging portfolio of a Bermudan option and its initial value. It gives a “purely dual” algorithm following the spirit of Rogers in the sense that it only relies on the dual pricing formula.
Aurélien Alfonsi   +2 more
wiley   +1 more source

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