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q-fin.PR2018
On the sensitivity analysis of energy quanto options
Rodwell Kufakunesu, Farai Mhlanga
In recent years there has been an advent of quanto options in energy markets. The structure of the payoff is rather a different type from other markets since it is written as a pro…
q-fin.MF2018
On SDEs with Lipschitz coefficients, driven by continuous, model-free martingales
Lesiba Ch. Galane, Rafał M. Łochowski, Farai J. Mhlanga
We prove the existence and uniqueness of solutions of SDEs with Lipschitz coefficients, driven by continuous, model-free martingales. The main tool in our reasoning is Picard's ite…