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A Comparison of Techniques for Dynamic Multivariate Risk Measures Read chapter Read first chapter

2015 | OriginalPaper | Chapter

Linear Vector Optimization and European Option Pricing Under Proportional Transaction Costs

Authors : Alet Roux, Tomasz Zastawniak

Published in: Set Optimization and Applications - The State of the Art

Publisher: Springer Berlin Heidelberg

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Abstract

A method for pricing and superhedging European options under proportional transaction costs based on linear vector optimisation and geometric duality developed by Löhne and Rudloff (Int. J. Theor. Appl. Finance 17(2): 1450012–1–1450012–33, 2014) is compared to a special case of the algorithms for American type derivatives due to Roux and Zastawniak (Acta Applicandae Mathematicae, published online 2015). An equivalence between these two approaches is established by means of a general result linking the support function of the upper image of a linear vector optimisation problem with the lower image of the dual linear optimisation problem.

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Metadata
Title
Linear Vector Optimization and European Option Pricing Under Proportional Transaction Costs
Authors
Alet Roux
Tomasz Zastawniak
Copyright Year
2015
Publisher
Springer Berlin Heidelberg
Book
Set Optimization and Applications - The State of the Art

Print ISBN: 978-3-662-48668-9

Electronic ISBN: 978-3-662-48670-2

Copyright Year: 2015

DOI
https://doi.org/10.1007/978-3-662-48670-2_5

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