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- W3122444427 abstract "Dans cet article, nous donnons une representation explicite de la strategie de cout le plus bas (strategie de cout optimal) qui reproduit une distribution donnee. Pour toute strategie non optimale, nous proposons des instruments financiers derives qui dominent dans le sens de la dominance stochastique de premier ou de second ordre. Nous mettons en evidence les liens entre l’optimalite du cout d’une strategie et sa dependance avec le marche. Cela nous permet d’etendre la theorie en presence de contraintes sur la dependance avec le marche. Nous montrons en particulier que les strategies dependant de la trajectoire du sous-jacent ne sont pas optimales dans le cadre de Black et Scholes mais peuvent le devenir en presence de contraintes sur la dependance avec le marche financier." @default.
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- W3122444427 date "2014-09-25" @default.
- W3122444427 modified "2023-10-09" @default.
- W3122444427 title "Explicit Representation of Cost-Efficient Strategies" @default.
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- W3122444427 doi "https://doi.org/10.3917/fina.352.0005" @default.
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