32 citations · 44 across the 14 of their papers we have counts for
Showing 2022Show all
2 papers · 1 filter
q-fin.PR2022
Fair pricing and hedging under small perturbations of the numéraire on a finite probability space
William Busching, Delphine Hintz, Oleksii Mostovyi +1
We consider the problem of fair pricing and hedging under small perturbations of the numéraire. We show that for replicable claims, the change of numéraire affects neither the fair…
q-fin.MF2022
Stability of the Epstein-Zin problem
Michael Monoyios, Oleksii Mostovyi
We investigate the stability of the Epstein-Zin problem with respect to small distortions in the dynamics of the traded securities. We work in incomplete market model settings, whe…