1 citations · 1 across the 2 of their papers we have counts for
2 papers
q-fin.MF2023★ 1 cited
Gamma Hedging and Rough Paths
John Armstrong, Andrei Ionescu
We apply rough-path theory to study the discrete-time gamma-hedging strategy. We show that if a trader knows that the market price of a set of European options will be given by a d…
math.PR2020
Itô Stochastic differentials
John Armstrong, Andrei Ionescu
We give an infinitesimal meaning to the symbol for a continuous semimartingale at an instant in time . We define a vector space structure on the space of differential…