13 citations · 20 across the 12 of their papers we have counts for
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math.PR2016
Thin times and random times' decomposition
Anna Aksamit, Tahir Choulli, Monique Jeanblanc
The paper studies thin times which are random times whose graph is contained in a countable union of the graphs of stopping times with respect to a reference filtration …
q-fin.MF2016
Robust framework for quantifying the value of information in pricing and hedging
Anna Aksamit, Zhaoxu Hou, Jan Obłój
We investigate asymmetry of information in the context of robust approach to pricing and hedging of financial derivatives. We consider two agents, one who only observes the stock p…
math.OC2016
Robust pricing--hedging duality for American options in discrete time financial markets
Anna Aksamit, Shuoqing Deng, Jan Obłój +1
We investigate pricing-hedging duality for American options in discrete time financial models where some assets are traded dynamically and others, e.g. a family of European options…