英文标题：
《Linear vector optimization and European option pricing under
proportional transaction costs》
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作者：
Alet Roux and Tomasz Zastawniak
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最新提交年份：
2014
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英文摘要：
A method for pricing and superhedging European options under proportional transaction costs based on linear vector optimisation and geometric duality developed by Lohne & Rudloff (2014) is compared to a special case of the algorithms for American type derivatives due to Roux & Zastawniak (2014). 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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中文摘要：
将Lohne&Rudloff（2014）提出的基于线性向量优化和几何对偶的比例交易成本下的欧式期权定价和超边际化方法与Roux&Zastawniak（2014）提出的美式衍生品算法的特例进行了比较。这两种方法之间的等价性是通过将线性向量优化问题的上图像的支持函数与双线性优化问题的下图像联系起来的一般结果来建立的。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Pricing of Securities 证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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一级分类：Mathematics 数学
二级分类：Optimization and Control 优化与控制
分类描述：Operations research, linear programming, control theory, systems theory, optimal control, game theory
运筹学，线性规划，控制论，系统论，最优控制，博弈论
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一级分类：Mathematics 数学
二级分类：Probability 概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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