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q-fin.MF2020
Quadratic Hedging for Sequential Claims with Random Weights in Discrete Time
Jun Deng, Bin Zou
We study a quadratic hedging problem for a sequence of contingent claims with random weights in discrete time. We obtain the optimal hedging strategy explicitly in a recursive repr…
q-fin.MF2015★ 1 cited
Non-Arbitrage Under Additional Information for Thin Semimartingale Models
Anna Aksamit, Tahir Choulli, Jun Deng +1
This paper completes the two studies undertaken in \cite{aksamit/choulli/deng/jeanblanc2} and \cite{aksamit/choulli/deng/jeanblanc3}, where the authors quantify the impact of a ran…