94 citations · 145 across the 20 of their papers we have counts for
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math.OC2018
Optimal stopping without Snell envelopes
Teemu Pennanen, Ari-Pekka Perkkiö
This paper proves the existence of optimal stopping times via elementary functional analytic arguments. The problem is first relaxed into a convex optimization problem over a close…
q-fin.PR2018
Pricing index options by static hedging under finite liquidity
John Armstrong, Teemu Pennanen, Udomsak Rakwongwan
We develop a model for indifference pricing in derivatives markets where price quotes have bid-ask spreads and finite quantities. The model quantifies the dependence of the prices…
math.PR2018
Dual spaces of cadlag processes
Teemu Pennanen, Ari-Pekka Perkkiö
This article characterizes topological duals of spaces of cadlag processes. We obtain extensions of functional analytic results of Dellacherie and Meyer that underlie many fundamen…