1 citations · 2 across the 4 of their papers we have counts for
4 papers
European baskets in discrete-time continuous-binomial market models
Jarek Kędra, Assaf Libman, Victoria Steblovskaya
We consider a discrete-time incomplete multi-asset market model with continuous price jumps. For a wide class of contingent claims, including European basket call options, we compu…
Minimum Cost Super-Hedging in a Discrete Time Incomplete Multi-Asset Binomial Market
Jarek Kędra, Assaf Libman, Victoria Steblovskaya
We consider a multi-asset incomplete model of the financial market, where each of risky assets follows the binomial dynamics, and no assumptions are made on the joint dis…
Pricing multi-asset contingent claims in a multi-dimensional binomial market
Jarek Kędra, Assaf Libman, Victoria Steblovskaya
We consider an incomplete multi-asset binomial market model. We prove that for a wide class of contingent claims the extremal multi-step martingale measure is a power of the corres…
An Algorithmic Approach to Non-self-financing Hedging in a Discrete-Time Incomplete Market
N. Josephy, L. Kimball, A. Nagaev +2
We present an algorithm producing a dynamic non-self-financing hedging strategy in an incomplete market corresponding to investor-relevant risk criterion. The optimization is a two…