3 citations · 8 across the 13 of their papers we have counts for
4 papers · 1 filter
Arbitrage in Estimate Nothing: an example
Johannes Brutsche, Julian Sester, Thorsten Schmidt
We give a two-period counterexample to the absence of arbitrage for the posterior-weighted pricing rule in Estimate nothing by Duembgen and Rogers. Both physical models have strict…
On intermediate Marginals in Martingale Optimal Transportation
Julian Sester
We study the influence of additional intermediate marginal distributions on the value of the martingale optimal transport problem. From a financial point of view, this corresponds…
Improved Robust Price Bounds for Multi-Asset Derivatives under Market-Implied Dependence Information
Jonathan Ansari, Eva Lütkebohmert, Ariel Neufeld +1
We show how inter-asset dependence information derived from market prices of options can lead to improved model-free price bounds for multi-asset derivatives. Depending on the type…
Model-free price bounds under dynamic option trading
Ariel Neufeld, Julian Sester
In this paper we extend discrete time semi-static trading strategies by also allowing for dynamic trading in a finite amount of options, and we study the consequences for the model…