64 citations · 410 across the 142 of their papers we have counts for
10 papers · 1 filter
Erratum to "On the market viability under proportional transaction costs"
Erhan Bayraktar, Xiang Yu
This short note aims to point out mistakes in one of the implications for Theorem 2.8 in Bayraktar and Yu [Mathematical Finance, 28 (2018), pp. 800-838], which weakens the statemen…
Bayesian Quickest Change Point Detection with Sampling Right Constraints
Jun Geng, Erhan Bayraktar, Lifeng Lai
In this paper, Bayesian quickest change detection problems with sampling right constraints are considered. Specifically, there is a sequence of random variables whose probability d…
On hedging American options under model uncertainty
Erhan Bayraktar, Yu-Jui Huang, Zhou Zhou
We consider as given a discrete time financial market with a risky asset and options written on that asset and determine both the sub- and super-hedging prices of an American optio…
Fundamental Theorem of Asset Pricing under Transaction costs and Model uncertainty
Erhan Bayraktar, Yuchong Zhang
We prove the Fundamental Theorem of Asset Pricing for a discrete time financial market where trading is subject to proportional transaction cost and the asset price dynamic is mode…
Weak reflection principle for Lévy processes
Erhan Bayraktar, Sergey Nadtochiy
In this paper, we develop a new mathematical technique which allows us to express the joint distribution of a Markov process and its running maximum (or minimum) through the margin…
On utility maximization with derivatives under model uncertainty
Erhan Bayraktar, Zhou Zhou
We consider the robust utility maximization using a static holding in derivatives and a dynamic holding in the stock. There is no fixed model for the price of the stock but we cons…