{"ID":6024174,"CreatedAt":"2026-07-08T01:00:23.257252134Z","UpdatedAt":"2026-07-09T23:16:22.029503457Z","DeletedAt":null,"paper_url":"https://arxiv.org/abs/2607.05697","arxiv_id":"2607.05697","title":"Stability and Dual Valuation of Contingent Claims under Rockafellian Perturbations","abstract":"We study the stability of solutions to the discrete-time contingent-claim problem over a finite investment horizon when uncertainty is modeled by random variables with finite discrete support. Our main contribution is to use Rockafellian perturbations as a framework for this stability analysis: we construct perturbations of the underlying probability distribution, of the contingent claim, and of both jointly, and we establish epi-convergence of the corresponding approximating Rockafellians for the primal problem. The associated hypo-convergent approximations yield stable dual problems which, in turn, imply convergence of the dual variables, interpreted as shadow prices. This analysis reveals a connection between the duality gap and the value of perfect information and it provides conditions under which strong duality holds. We also construct examples in which epi-convergence fails due to critical scenarios with vanishing probabilities but unbounded impacts, illustrating the boundary between well-behaved and ill-conditioned contingent-claim problems.","short_abstract":"We study the stability of solutions to the discrete-time contingent-claim problem over a finite investment horizon when uncertainty is modeled by random variables with finite discrete support. Our main contribution is to use Rockafellian perturbations as a framework for this stability analysis: we construct perturbatio...","url_abs":"https://arxiv.org/abs/2607.05697","url_pdf":"https://arxiv.org/pdf/2607.05697v1","authors":"[\"Wolfgang Breytmann\",\"Julio Deride\",\"Nicolás Hernández\"]","published":"2026-07-06T23:31:53Z","proceeding":"math.OC","tasks":"[\"math.OC\",\"q-fin.MF\"]","methods":"[]","has_code":false}