Stability and asymptotic analysis of the Föllmer-Schweizer decomposition on a finite probability space

DOI10.2140/involve.2020.13.607zbMath1470.60108arXiv2002.03286OpenAlexW3109406944MaRDI QIDQ2036670

Sarah Boese, Gianmarco Molino, Oleksii Mostovyi, Tracy Cui, Samuel Johnston

Publication date: 30 June 2021

Published in: Involve (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2002.03286

zbMATH Keywords

stabilityasymptotic analysisFöllmer-Schweizer decompositionsimultaneous perturbations of the drift and volatility

Mathematics Subject Classification ID

Least squares and related methods for stochastic control systems (93E24) Optimal stochastic control (93E20) General theory of stochastic processes (60G07) Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10)

Related Items (1)

Fair pricing and hedging under small perturbations of the numéraire on a finite probability space

Cites Work

• On the two-times differentiability of the value functions in the problem of optimal investment in incomplete markets
• Sensitivity analysis of utility-based prices and risk-tolerance wealth processes
• Approximating random variables by stochastic integrals
• Föllmer-Schweizer decomposition and mean-variance hedging for general claims
• Asymptotic analysis of the expected utility maximization problem with respect to perturbations of the numéraire
• Variance-Optimal Hedging in Discrete Time

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