2 papers
math.OC2019
Martingale Optimal Transport in the Discrete Case Via Simple Linear Programming Techniques
Nicole Bäuerle, Daniel Schmithals
We consider the problem of finding consistent upper price bounds and super replication strategies for exotic options, given the observation of call prices in the market. This field…
q-fin.PM2018
Portfolio Optimization in Fractional and Rough Heston Models
Nicole Bäuerle, Sascha Desmettre
We consider a fractional version of the Heston volatility model which is inspired by [16]. Within this model we treat portfolio optimization problems for power utility functions. U…