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dc.contributor.authorPossamaï, Dylan*
dc.contributor.authorSoner, Halil Mete*
dc.contributor.authorTouzi, Nizar*
dc.date.accessioned2011-01-24T08:51:17Z
dc.date.available2011-01-24T08:51:17Z
dc.date.issued2012
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/5526
dc.language.isoenen
dc.subjectSuper-replicationen
dc.subjectliquidityen
dc.subjectviscosity solutionsen
dc.subjectasymptotic expansionsen
dc.subject.ddc519en
dc.subject.classificationjelG1en
dc.titleLarge liquidity expansion of super-hedging costsen
dc.typeArticle accepté pour publication ou publié
dc.description.abstractenWe consider a financial market with liquidity cost as in Cetin, Jarrow and Protter [3] where the supply function S"(s; ) depends on a parameter " 0 with S0(s; ) = s corresponding to the perfect liquid situation. Using the PDE characterization of Cetin, Soner and Touzi [6] of the super-hedging cost of an option written on such a stock, we provide a Taylor expansion of the super-hedging cost in powers of ". In particular, we explicitly compute the first term in the expansion for a European Call option and give bounds for the order of the expansion for a European Digital Option.en
dc.relation.isversionofjnlnameAsymptotic Analysis
dc.relation.isversionofjnlvol79
dc.relation.isversionofjnlissue1-2
dc.relation.isversionofjnldate2012
dc.relation.isversionofjnlpages45-64
dc.relation.isversionofdoihttp://dx.doi.org/10.3233/ASY-2011-1089
dc.description.sponsorshipprivateouien
dc.relation.isversionofjnlpublisherIOS Press
dc.subject.ddclabelProbabilités et mathématiques appliquéesen
hal.person.labIds60*
hal.person.labIds*
hal.person.labIds60*


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