Matches in SemOpenAlex for { <https://semopenalex.org/work/W2169200250> ?p ?o ?g. }
Showing items 1 to 87 of
87
with 100 items per page.
- W2169200250 endingPage "558" @default.
- W2169200250 startingPage "526" @default.
- W2169200250 abstract "Within a Brownian diffusion Markovian framework, we provide a direct PDE characterization of the minimal initial endowment required so that the terminal wealth of a financial agent (possibly diminished by the payoff of a random claim) can match a set of constraints in probability. Such constraints should be interpreted as a rough description of a targeted profit and loss (P&L) distribution. This allows us to give a price to options under a P&L constraint, or to provide a description of the discrete P&L profiles that can be achieved given an initial capital. This approach provides an alternative to the standard utility indifference (or marginal) pricing rules that is better adapted to market practices. From the mathematical point of view, this is an extension of the stochastic target problem under controlled loss, studied in Bouchard, Touzi, and Elie [Bouchard B, Touzi N, Elie R (2009) Stochastic target problems with controlled loss. SIAM J. Control Optim. 48(5):3123–3150], to the case of multiple constraints. Although the associated Hamilton-Jacobi-Bellman operator is fully discontinuous, and the terminal condition is irregular, we are able to construct a numerical scheme that converges at any continuity points of the pricing function." @default.
- W2169200250 created "2016-06-24" @default.
- W2169200250 creator A5004548782 @default.
- W2169200250 creator A5030868049 @default.
- W2169200250 date "2012-08-01" @default.
- W2169200250 modified "2023-10-03" @default.
- W2169200250 title "A Stochastic Target Approach for P&L Matching Problems" @default.
- W2169200250 cites W1983652428 @default.
- W2169200250 cites W2021318678 @default.
- W2169200250 cites W2025951566 @default.
- W2169200250 cites W2032316144 @default.
- W2169200250 cites W2075749097 @default.
- W2169200250 cites W2115526061 @default.
- W2169200250 cites W2135651599 @default.
- W2169200250 cites W2493936716 @default.
- W2169200250 cites W3124423781 @default.
- W2169200250 cites W4238035223 @default.
- W2169200250 doi "https://doi.org/10.1287/moor.1120.0549" @default.
- W2169200250 hasPublicationYear "2012" @default.
- W2169200250 type Work @default.
- W2169200250 sameAs 2169200250 @default.
- W2169200250 citedByCount "19" @default.
- W2169200250 countsByYear W21692002502012 @default.
- W2169200250 countsByYear W21692002502013 @default.
- W2169200250 countsByYear W21692002502014 @default.
- W2169200250 countsByYear W21692002502016 @default.
- W2169200250 countsByYear W21692002502017 @default.
- W2169200250 countsByYear W21692002502021 @default.
- W2169200250 crossrefType "journal-article" @default.
- W2169200250 hasAuthorship W2169200250A5004548782 @default.
- W2169200250 hasAuthorship W2169200250A5030868049 @default.
- W2169200250 hasBestOaLocation W21692002502 @default.
- W2169200250 hasConcept C104317684 @default.
- W2169200250 hasConcept C126255220 @default.
- W2169200250 hasConcept C134306372 @default.
- W2169200250 hasConcept C144237770 @default.
- W2169200250 hasConcept C158448853 @default.
- W2169200250 hasConcept C170131372 @default.
- W2169200250 hasConcept C17020691 @default.
- W2169200250 hasConcept C185592680 @default.
- W2169200250 hasConcept C22171661 @default.
- W2169200250 hasConcept C33252445 @default.
- W2169200250 hasConcept C33923547 @default.
- W2169200250 hasConcept C34388435 @default.
- W2169200250 hasConcept C55493867 @default.
- W2169200250 hasConcept C86339819 @default.
- W2169200250 hasConcept C91575142 @default.
- W2169200250 hasConceptScore W2169200250C104317684 @default.
- W2169200250 hasConceptScore W2169200250C126255220 @default.
- W2169200250 hasConceptScore W2169200250C134306372 @default.
- W2169200250 hasConceptScore W2169200250C144237770 @default.
- W2169200250 hasConceptScore W2169200250C158448853 @default.
- W2169200250 hasConceptScore W2169200250C170131372 @default.
- W2169200250 hasConceptScore W2169200250C17020691 @default.
- W2169200250 hasConceptScore W2169200250C185592680 @default.
- W2169200250 hasConceptScore W2169200250C22171661 @default.
- W2169200250 hasConceptScore W2169200250C33252445 @default.
- W2169200250 hasConceptScore W2169200250C33923547 @default.
- W2169200250 hasConceptScore W2169200250C34388435 @default.
- W2169200250 hasConceptScore W2169200250C55493867 @default.
- W2169200250 hasConceptScore W2169200250C86339819 @default.
- W2169200250 hasConceptScore W2169200250C91575142 @default.
- W2169200250 hasIssue "3" @default.
- W2169200250 hasLocation W21692002501 @default.
- W2169200250 hasLocation W21692002502 @default.
- W2169200250 hasLocation W21692002503 @default.
- W2169200250 hasLocation W21692002504 @default.
- W2169200250 hasLocation W21692002505 @default.
- W2169200250 hasOpenAccess W2169200250 @default.
- W2169200250 hasPrimaryLocation W21692002501 @default.
- W2169200250 hasRelatedWork W2012056543 @default.
- W2169200250 hasRelatedWork W2060123580 @default.
- W2169200250 hasRelatedWork W2136053165 @default.
- W2169200250 hasRelatedWork W2368977178 @default.
- W2169200250 hasRelatedWork W2909583125 @default.
- W2169200250 hasRelatedWork W3121543448 @default.
- W2169200250 hasRelatedWork W3121752493 @default.
- W2169200250 hasRelatedWork W3123163634 @default.
- W2169200250 hasRelatedWork W4311723219 @default.
- W2169200250 hasRelatedWork W1822606334 @default.
- W2169200250 hasVolume "37" @default.
- W2169200250 isParatext "false" @default.
- W2169200250 isRetracted "false" @default.
- W2169200250 magId "2169200250" @default.
- W2169200250 workType "article" @default.