17 citations · 122 across the 28 of their papers we have counts for
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math.PR2020★ 11 cited
On the value of non-Markovian Dynkin games with partial and asymmetric information
Tiziano De Angelis, Nikita Merkulov, Jan Palczewski
We prove that zero-sum Dynkin games in continuous time with partial and asymmetric information admit a value in randomised stopping times when the stopping payoffs of the players a…
q-fin.MF2020
Optimal hedging of a perpetual American put with a single trade
Cheng Cai, Tiziano De Angelis, Jan Palczewski
It is well-known that using delta hedging to hedge financial options is not feasible in practice. Traders often rely on discrete-time hedging strategies based on fixed trading time…