108 citations · 345 across the 44 of their papers we have counts for
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q-fin.MF2016
No-arbitrage and hedging with liquid American options
Erhan Bayraktar, Zhou Zhou
Since most of the traded options on individual stocks is of American type it is of interest to generalize the results obtained in semi-static trading to the case when one is allowe…
q-fin.MF2016
Super-hedging American Options with Semi-static Trading Strategies under Model Uncertainty
Erhan Bayraktar, Zhou Zhou
We consider the super-hedging price of an American option in a discrete-time market in which stocks are available for dynamic trading and European options are available for static…