Dry Markets and Superreplication Bounds of American Derivatives
Autor(a) principal: | |
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Data de Publicação: | 2004 |
Outros Autores: | |
Tipo de documento: | Artigo |
Idioma: | eng |
Título da fonte: | Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
Texto Completo: | http://hdl.handle.net/10362/83208 |
Resumo: | This paper studies the impact of dry markets for underlying assets on the pricing of American derivatives, using a discrete time framework. Dry markets are characterized by the possibility of non-existence of trading at certain dates. Such non-existence may be deterministic or probabilistic. Using superreplicating strategies, we derive expectation representations for the range of arbitrage-free values of the dervatives. In the probabilistic case, if we consider an enlarged filtration induced by the price process and the market existence process, ordinary stopping times are required. If not, randomized stopping times are required. Several comparisons of the ranges obtained with the two market restrictions are performed. Finally, we conclude that arbitrage arguments are not enough to define the optimal exercise policy. |
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Dry Markets and Superreplication Bounds of American DerivativesAmerican derivativesPricingIncomplete marketsDry marketsSuperreplicationRandomized stopping timesStrong dualityThis paper studies the impact of dry markets for underlying assets on the pricing of American derivatives, using a discrete time framework. Dry markets are characterized by the possibility of non-existence of trading at certain dates. Such non-existence may be deterministic or probabilistic. Using superreplicating strategies, we derive expectation representations for the range of arbitrage-free values of the dervatives. In the probabilistic case, if we consider an enlarged filtration induced by the price process and the market existence process, ordinary stopping times are required. If not, randomized stopping times are required. Several comparisons of the ranges obtained with the two market restrictions are performed. Finally, we conclude that arbitrage arguments are not enough to define the optimal exercise policy.Nova SBERUNAmaro de Matos, JoãoLacerda, Ana2019-10-04T16:09:45Z2004-10-132004-10-13T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10362/83208engAmaro de Matos, João and Lacerda, Ana, Dry Markets and Superreplication Bounds of American Derivatives (October, 2004). FEUNL Working Paper Series No. 461info:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2024-03-11T04:37:08Zoai:run.unl.pt:10362/83208Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-20T03:36:18.174470Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse |
dc.title.none.fl_str_mv |
Dry Markets and Superreplication Bounds of American Derivatives |
title |
Dry Markets and Superreplication Bounds of American Derivatives |
spellingShingle |
Dry Markets and Superreplication Bounds of American Derivatives Amaro de Matos, João American derivatives Pricing Incomplete markets Dry markets Superreplication Randomized stopping times Strong duality |
title_short |
Dry Markets and Superreplication Bounds of American Derivatives |
title_full |
Dry Markets and Superreplication Bounds of American Derivatives |
title_fullStr |
Dry Markets and Superreplication Bounds of American Derivatives |
title_full_unstemmed |
Dry Markets and Superreplication Bounds of American Derivatives |
title_sort |
Dry Markets and Superreplication Bounds of American Derivatives |
author |
Amaro de Matos, João |
author_facet |
Amaro de Matos, João Lacerda, Ana |
author_role |
author |
author2 |
Lacerda, Ana |
author2_role |
author |
dc.contributor.none.fl_str_mv |
RUN |
dc.contributor.author.fl_str_mv |
Amaro de Matos, João Lacerda, Ana |
dc.subject.por.fl_str_mv |
American derivatives Pricing Incomplete markets Dry markets Superreplication Randomized stopping times Strong duality |
topic |
American derivatives Pricing Incomplete markets Dry markets Superreplication Randomized stopping times Strong duality |
description |
This paper studies the impact of dry markets for underlying assets on the pricing of American derivatives, using a discrete time framework. Dry markets are characterized by the possibility of non-existence of trading at certain dates. Such non-existence may be deterministic or probabilistic. Using superreplicating strategies, we derive expectation representations for the range of arbitrage-free values of the dervatives. In the probabilistic case, if we consider an enlarged filtration induced by the price process and the market existence process, ordinary stopping times are required. If not, randomized stopping times are required. Several comparisons of the ranges obtained with the two market restrictions are performed. Finally, we conclude that arbitrage arguments are not enough to define the optimal exercise policy. |
publishDate |
2004 |
dc.date.none.fl_str_mv |
2004-10-13 2004-10-13T00:00:00Z 2019-10-04T16:09:45Z |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/article |
format |
article |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
http://hdl.handle.net/10362/83208 |
url |
http://hdl.handle.net/10362/83208 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.relation.none.fl_str_mv |
Amaro de Matos, João and Lacerda, Ana, Dry Markets and Superreplication Bounds of American Derivatives (October, 2004). FEUNL Working Paper Series No. 461 |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
dc.format.none.fl_str_mv |
application/pdf |
dc.publisher.none.fl_str_mv |
Nova SBE |
publisher.none.fl_str_mv |
Nova SBE |
dc.source.none.fl_str_mv |
reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação instacron:RCAAP |
instname_str |
Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
instacron_str |
RCAAP |
institution |
RCAAP |
reponame_str |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
collection |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
repository.name.fl_str_mv |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
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1799137981866442752 |