Illiquid markets as a counterparty are modeled as accepting at zero cost a convex cone of random variables containing the nonnegative cash flows. Formulas are provided for bid and ask prices in terms of this marketed cone. Additionally closed forms are obtained when parametric concave...

The concept of stress levels embedded in S&P 500 options are defined and illustrated with explicit constructions. The particular example of a stress function used is MINMAXVAR. Seven joint laws for the top 50 stocks in the index are considered. The first time changes a Gaussian one factor...