Advanced search
Publication Cover
Applied Mathematical Finance Volume 16, 2009 - Issue 4
Submit an article Journal homepage
80
Views
25
CrossRef citations to date
0
Altmetric
Papers

A Note on the Suboptimality of Path-Dependent Pay-Offs in Lévy Markets

Steven Vanduffel Faculty of Economics, Vrije Universiteit Brussel (VUB), Brussels, BelgiumCorrespondence[email protected]
,
Andrew Chernih X-Act Consulting, 33, Clementinastraat, Antwerpen, Belgium
,
Matheusz Maj Faculty of Economics, Vrije Universiteit Brussel (VUB), Brussels, Belgium
&
Wim Schoutens Department of Mathematics, Faculty of Science, KU Leuven, Leuven, Belgium
Pages 315-330 | Received 11 Dec 2007, Published online: 28 Sep 2009

Citations (25)

Keep up to date with the latest research on this topic with citation updates for this article.

Subscribe to citation updates

Read on this site (5)

Carole Bernard, Franck Moraux, Ludger Rüschendorf & Steven Vanduffel. (2015) Optimal payoffs under state-dependent preferences. Quantitative Finance 15:7, pages 1157-1173.
Read now
Carole Bernard, Jit Seng Chen & Steven Vanduffel. (2014) Optimal portfolios under worst-case scenarios. Quantitative Finance 14:4, pages 657-671.
Read now
Carole Bernard, Mateusz Maj & Steven Vanduffel. (2011) Improving the Design of Financial Products in a Multidimensional Black-Scholes Market. North American Actuarial Journal 15:1, pages 77-96.
Read now
Steven Vanduffel. (2010) “Weighted Pricing Functionals with Applications to Insurance: An Overview,” Edward Furman and Ricardas Zitikis, Vol. 13, No. 4, 2009. North American Actuarial Journal 14:2, pages 278-279.
Read now
Phelim Boyle & Weidong Tian. (2009) Optimal design of equity-linked products with a probabilistic constraint. Scandinavian Actuarial Journal 2009:4, pages 253-280.
Read now

Articles from other publishers (20)

L. Rüschendorf & Steven Vanduffel. (2019) On the construction of optimal payoffs. Decisions in Economics and Finance 43:1, pages 129-153.
Crossref
Stefan Kassberger & Thomas Liebmann. (2016) Additive portfolio improvement and utility-efficient payoffs. Mathematics and Financial Economics 11:2, pages 241-262.
Crossref
José Manuel Corcuera, José Fajardo & Olivier Menouken Pamen. 2016. Advanced Modelling in Mathematical Finance. Advanced Modelling in Mathematical Finance 313 330 .
Ludger Rüschendorf & Viktor Wolf. (2015) Cost-efficiency in multivariate Lévy models. Dependence Modeling 3:1.
Crossref
Carole Bernard, Ludger Rüschendorf & Steven Vanduffel. (2016) Optimal claims with fixed payoff structure. Journal of Applied Probability 51:A, pages 175-188.
Crossref
Carole Bernard, Ludger Rüschendorf & Steven Vanduffel. (2016) Optimal claims with fixed payoff structure. Journal of Applied Probability 51:A, pages 175-188.
Crossref
Carole Bernard, Phelim P. Boyle & Steven Vanduffel. (2014) Explicit Representation of Cost-Efficient Strategies. Finance Vol. 35:2, pages 5-55.
Crossref
ERNST AUGUST VON HAMMERSTEIN, EVA LÜTKEBOHMERT, LUDGER RÜSCHENDORF & VIKTOR WOLF. (2014) OPTIMALITY OF PAYOFFS IN LÉVY MODELS. International Journal of Theoretical and Applied Finance 17:06, pages 1450041.
Crossref
Carole Bernard & Steven Vanduffel. (2014) Financial Bounds for Insurance Claims. Journal of Risk and Insurance 81:1, pages 27-56.
Crossref
Andrew P. Leung & Wen Shi. (2013) An Extension of Some Results Due to Cox and Leland. Journal of Mathematical Finance 03:04, pages 416-425.
Crossref
Stefan Kassberger & Thomas Liebmann. (2012) When are path-dependent payoffs suboptimal?. Journal of Banking & Finance 36:5, pages 1304-1310.
Crossref
STEVEN VANDUFFEL, ALES AHCAN, LUC HENRARD & MATEUSZ MAJ. (2012) AN EXPLICIT OPTION-BASED STRATEGY THAT OUTPERFORMS DOLLAR COST AVERAGING. International Journal of Theoretical and Applied Finance 15:02, pages 1250013.
Crossref
Martin Wallmeier. (2011) Beyond payoff diagrams: how to present risk and return characteristics of structured products. Financial Markets and Portfolio Management 25:3.
Crossref
Ludger RRschendorf & Steven Vanduffel. (2017) On the Construction of Optimal Payoffs. SSRN Electronic Journal.
Crossref
Joss Manuel Corcuera & Olivier Menouken Pamen. (2016) On the Optimal Investment. SSRN Electronic Journal.
Crossref
Stefan Kassberger & Thomas Liebmann. (2014) Utility-Efficient Payoffs. SSRN Electronic Journal.
Crossref
Carole Bernard, Jit Seng Chen & Steven Vanduffel. (2012) Optimal Portfolios Under Worst-Case Scenarios. SSRN Electronic Journal.
Crossref
Carole Bernard & Steven Vanduffel. (2012) Financial Bounds for Insurance Claims. SSRN Electronic Journal.
Crossref
Carole Bernard, Phelim P. Boyle & Steven Vanduffel. (2012) Explicit Representation of Cost-Efficient Strategies. SSRN Electronic Journal.
Crossref
Stefan Kassberger & Thomas Liebmann. (2009) When are Path-Dependent Payoffs Suboptimal?. SSRN Electronic Journal.
Crossref

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Order Reprints Request Corporate Permissions

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

Request Academic Permissions

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.

Related research

People also read lists articles that other readers of this article have read.

Recommended articles lists articles that we recommend and is powered by our AI driven recommendation engine.

Cited by lists all citing articles based on Crossref citations.
Articles with the Crossref icon will open in a new tab.