1 citations · 1 across the 3 of their papers we have counts for
3 papers
q-fin.MF2023
Robust option pricing with volatility term structure -- An empirical study for variance options
Alexander M. G. Cox, Annemarie M. Grass
The robust option pricing problem is to find upper and lower bounds on fair prices of financial claims using only the most minimal assumptions. It contrasts with the classical, mod…
math.PR2023
Delayed switching identities and multi-marginal solutions to the Skorokhod embedding problem
Alexander M. G. Cox, Annemarie M. Grass
In this article, we consider a generalisation of the Skorokhod embedding problem (SEP) with a delayed starting time. In the delayed SEP, we look for stopping times which embed a gi…
math.PR2020★ 1 cited
Switching Identities by Probabilistic Means
J. Backoff, A. M. G. Cox, A. Grass +1
Switching identities have a long history in potential theory and stochastic analysis. In recent work of Cox and Wang, a switching identity was used to connect an optimal stopping p…