42 citations · 203 across the 34 of their papers we have counts for
Showing 2016Show all
3 papers · 1 filter
math.PR2016★ 3 cited
Solvability of multidimensional quadratic BSDEs
Asgar Jamneshan, Michael Kupper, Peng Luo
We consider multidimensional quadratic BSDEs with bounded and unbounded terminal conditions. We provide sufficient conditions which guarantee existence and uniqueness of solutions.…
math.FA2016★ 3 cited
Vector duality via conditional extension of dual pairs
Samuel Drapeau, Asgar Jamneshan, Michael Kupper
A Fenchel-Moreau type duality for proper convex and lower semi-continuous functions is established where is a dual…
q-fin.MF2016★ 3 cited
Duality formulas for robust pricing and hedging in discrete time
Patrick Cheridito, Michael Kupper, Ludovic Tangpi
In this paper we derive robust super- and subhedging dualities for contingent claims that can depend on several underlying assets. In addition to strict super- and subhedging, we a…