Showing 2009Show all
2 papers · 1 filter
q-fin.CP2009
T-Systems and the lower Snell envelope
Erick Trevino Aguilar
The dynamical analysis of American options has motivated the development of robust versions of the classical Snell envelopes. The cost of superhedging an American option is charact…
q-fin.RM2009
Monitoring dates of maximal risk
Erick Trevino Aguilar
Monitoring means to observe a system for any changes which may occur over time, using a monitor or measuring device of some sort. In this paper we formulate a problem of monitoring…