24 citations · 39 across the 10 of their papers we have counts for
4 papers · 1 filter
No-arbitrage conditions and pricing from discrete-time to continuous-time strategies
Dorsaf Cherif, Emmanuel Lepinette
In this paper, a general framework is developed for continuous-time financial market models defined from simple strategies through conditional topologies that avoid stochastic calc…
Coherent Risk Measure on : NA Condition, Pricing and Dual Representation
Emmanuel Lepinette, Duc Thinh Vu
The NA condition is one of the pillars supporting the classical theory of financial mathematics. We revisit this condition for financial market models where a dynamic risk-measure…
Dynamic programming principle and computable prices in financial market models with transaction costs
Emmanuel Lepinette, Duc Thinh Vu
How to compute (super) hedging costs in rather general fi- nancial market models with transaction costs in discrete-time ? Despite the huge literature on this topic, most of result…
Super-hedging-pricing formulas and Immediate-Profit arbitrage for market models under random horizon
Tahir Choulli, Emmanuel Lepinette
In this paper, we consider the discrete-time setting, and the market model described by (S,F,T)$. Herein F is the ``public" flow of information which is available to all agents ove…