Convex Order for Path-Dependent Derivatives: A Dynamic Programming Approach

DOI10.1007/978-3-319-44465-9_3zbMath1367.60044arXiv1407.6348OpenAlexW2528425908MaRDI QIDQ5270095

Gilles Pagès

Publication date: 22 June 2017

Published in: Lecture Notes in Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1407.6348

zbMATH Keywords

functional limit theoremsdynamic programmingmartingalesstochastic differential equationsdiffusionsmathematical financeEuler schemesfunctional convex order

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Numerical methods (including Monte Carlo methods) (91G60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Brownian motion (60J65) Dynamic programming (90C39) Martingales with continuous parameter (60G44) Diffusion processes (60J60) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical solutions to stochastic differential and integral equations (65C30) Algorithms for approximation of functions (65D15)

Related Items (5)

Monotone convex order for the McKean-Vlasov processes ⋮ Robustness of Delta Hedging in a Jump-Diffusion Model ⋮ Functional convex order for the scaled McKean-Vlasov processes ⋮ On a Class of Path-Dependent Singular Stochastic Control Problems ⋮ Convex order, quantization and monotone approximations of ARCH models

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