108 citations · 345 across the 44 of their papers we have counts for
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q-fin.PR2013
A note on the Fundamental Theorem of Asset Pricing under model uncertainty
Erhan Bayraktar, Yuchong Zhang, Zhou Zhou
We show that the results of ArXiv:1305.6008 on the Fundamental Theorem of Asset Pricing and the super-hedging theorem can be extended to the case in which the options available for…
q-fin.PR2013
On model-independent pricing/hedging using shortfall risk and quantiles
Erhan Bayraktar, Zhou Zhou
We consider the pricing and hedging of exotic options in a model-independent set-up using \emph{shortfall risk and quantiles}. We assume that the marginal distributions at certain…