6 citations · 9 across the 4 of their papers we have counts for
4 papers
Scaling Limits for Exponential Hedging in Trinomial Models
Yan Dolinsky, Xin Zhang
We study scaled trinomial models converging to the Black--Scholes model, and analyze exponential certainty-equivalent prices for path-dependent European options. As the number of t…
Distributional Robust Portfolio Construction based on Investor Aversion
Xin Zhang
In behavioral finance, aversion affects investors' judgment of future uncertainty when profit and loss occur. Considering investors' aversion to loss and risk, and the ambiguous un…
Small-time asymptotics for Gaussian self-similar stochastic volatility models
Archil Gulisashvili, Frederi Viens, Xin Zhang
We consider the class of self-similar Gaussian stochastic volatility models, and compute the small-time (near-maturity) asymptotics for the corresponding asset price density, the c…
Extreme-Strike Asymptotics for General Gaussian Stochastic Volatility Models
Archil Gulisashvili, Frederi Viens, Xin Zhang
We consider a stochastic volatility asset price model in which the volatility is the absolute value of a continuous Gaussian process with arbitrary prescribed mean and covariance.…