A leveraged exchange traded fund (LETF) is an exchange traded fund that uses financial derivatives to amplify the price changes of a basket of goods. In this paper, we consider the robust hedging of European options on a...
A leveraged exchange traded fund (LETF) is an exchange traded fund that uses financial derivatives to amplify the price changes of a basket of goods. In this paper, we consider the robust hedging of European options on a...
We solve the martingale optimal transport problem for cost functionals represented by optimal stopping problems. The measure-valued martingale approach developed in [A. M. G. Cox and S. Källblad, SIAM J. Control Optim., 55...
We solve the martingale optimal transport problem for cost functionals represented by optimal stopping problems. The measure-valued martingale approach developed in [A. M. G. Cox and S. Källblad, SIAM J. Control Optim., 55...
We prove a strong duality result for a linear programming problem which has the interpretation of being a discretised optimal Skorokhod embedding problem, and we recover this continuous time problem as a limit of the discrete...
We prove a strong duality result for a linear programming problem which has the interpretation of being a discretised optimal Skorokhod embedding problem, and we recover this continuous time problem as a limit of the discrete...
The Skorokhod Embedding Problem is one of the classical problems in the theory of stochastic processes, with applications in many different fields [cf. the surveys (Hobson in: Paris-Princeton lectures on mathematical finance...
The Skorokhod Embedding Problem is one of the classical problems in the theory of stochastic processes, with applications in many different fields [cf. the surveys (Hobson in: Paris-Princeton lectures on mathematical finance...
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