55 citations · 233 across the 23 of their papers we have counts for
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math.PR2013★ 2 cited
On hedging American options under model uncertainty
Erhan Bayraktar, Yu-Jui Huang, Zhou Zhou
We consider as given a discrete time financial market with a risky asset and options written on that asset and determine both the sub- and super-hedging prices of an American optio…
math.PR2013★ 4 cited
The Stochastic Solution to a Cauchy Problem for Degenerate Parabolic Equations
Xiaoshan Chen, Yu-Jui Huang, Qingshuo Song +1
We study the stochastic solution to a Cauchy problem for a degenerate parabolic equation arising from option pricing. When the diffusion coefficient of the underlying price process…