48 citations · 88 across the 27 of their papers we have counts for
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q-fin.MF2015
Robust replication of barrier-style claims on price and volatility
Peter Carr, Roger Lee, Matthew Lorig
We show how to price and replicate a variety of barrier-style claims written on the price and quadratic variation of a risky asset. Our framework ass…
q-fin.CP2015
Portfolio Optimization under Local-Stochastic Volatility: Coefficient Taylor Series Approximations & Implied Sharpe Ratio
Matthew Lorig, Ronnie Sircar
We study the finite horizon Merton portfolio optimization problem in a general local-stochastic volatility setting. Using model coefficient expansion techniques, we derive approxim…
q-fin.MF2015
Optimal Static Quadratic Hedging
Tim Leung, Matthew Lorig
We propose a flexible framework for hedging a contingent claim by holding static positions in vanilla European calls, puts, bonds, and forwards. A model-free expression is derived…