177 citations · 238 across the 18 of their papers we have counts for
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q-fin.PR2015
FX Options in Target Zone
Peter Carr, Zura Kakushadze
In this note we discuss - in what is intended to be a pedagogical fashion - FX option pricing in target zones with attainable boundaries. The boundaries must be reflecting. The no-…
q-fin.CP2015★ 177 cited
Solving the Optimal Trading Trajectory Problem Using a Quantum Annealer
Gili Rosenberg, Poya Haghnegahdar, Phil Goddard +3
We solve a multi-period portfolio optimization problem using D-Wave Systems' quantum annealer. We derive a formulation of the problem, discuss several possible integer encoding sch…
q-fin.MF2015
Robust replication of barrier-style claims on price and volatility
Peter Carr, Roger Lee, Matthew Lorig
We show how to price and replicate a variety of barrier-style claims written on the price and quadratic variation of a risky asset. Our framework ass…