activity
20022020
most citedPathwise inequalities for local time: Applications to Skorokhod embeddings and optimal stopping

39 citations · 45 across the 12 of their papers we have counts for

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Showing 2013Show all

2 papers · 1 filter

q-fin.PR2013

Robust price bounds for the forward starting straddle

David Hobson, Martin Klimmek

In this article we consider the problem of giving a robust, model-independent, lower bound on the price of a forward starting straddle with payoff where $0<T_…

q-fin.PM2013

Gambling in contests with regret

Han Feng, David Hobson

This paper discusses the gambling contest introduced in Seel & Strack (Gambling in contests, Discussion Paper Series of SFB/TR 15 Governance and the Efficiency of Economic Systems…