Thomas Zurcher

most citedStatic replications with traffic light options

3 citations · 3 across the 1 of their papers we have counts for

collaborators

3 papers

math.CA2018

Some Class of Linear Operators Involved in Functional Equations

Janusz Morawiec, Thomas Zürcher

Fix $N \in N$ and assume that for every $n \in {1, \dots, N}$ the functions $f_{n} : [0, 1] \to [0, 1]$ and $g_{n} : [0, 1] \to R$ are Lebesgue measurable, $f_{n}$ is almost…

math.CA2018

An application of functional equations for generating $ε$ -invariant measures

Janusz Morawiec, Thomas Zürcher

Let $(X, A, μ)$ be a probability space and let $S : X \to X$ be a measurable transformation. Motivated by the paper of K. Nikodem [Czechoslovak Math. J. 41(116) (4) (19…

q-fin.RM2010★ 3 cited

Static replications with traffic light options

Michael Schmutz, Thomas Zürcher

It is well known that any sufficiently regular one-dimensional payoff function has an explicit static hedge by bonds, forward contracts and lots of vanilla options. We show that th…

Some Class of Linear Operators Involved in Functional Equations

An application of functional equations for generating ε-invariant measures

Static replications with traffic light options

An application of functional equations for generating $ε$ -invariant measures