32 citations · 33 across the 11 of their papers we have counts for
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q-fin.PR2024
A general framework for pricing and hedging under local viability
Huy N. Chau, Miklos Rasonyi
In this paper, a new approach for solving the problems of pricing and hedging derivatives is introduced in a general frictionless market setting. The method is applicable even in c…
q-fin.PR2024
On short-time behavior of implied volatility in a market model with indexes
Huy N. Chau, Duy Nguyen, Thai Nguyen
This paper investigates short-term behaviors of implied volatility of derivatives written on indexes in equity markets when the index processes are constructed by using a ranking p…
q-fin.PR2013
Market models with optimal arbitrage
Huy N. Chau, Peter Tankov
We construct and study market models admitting optimal arbitrage. We say that a model admits optimal arbitrage if it is possible, in a zero-interest rate setting, starting with an…