108 citations · 345 across the 44 of their papers we have counts for
4 papers · 1 filter
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…
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…
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…
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…