108 citations · 345 across the 44 of their papers we have counts for
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math.PR2013★ 2 cited
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…
math.PR2013
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…