5 citations · 6 across the 2 of their papers we have counts for
4 papers
Pointwise Arbitrage Pricing Theory in Discrete Time
Matteo Burzoni, Marco Frittelli, Zhaoxu Hou +2
We develop a robust framework for pricing and hedging of derivative securities in discrete-time financial markets. We consider markets with both dynamically and statically traded a…
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…
On robust pricing-hedging duality in continuous time
Zhaoxu Hou, Jan Obloj
We pursue robust approach to pricing and hedging in mathematical finance. We consider a continuous time setting in which some underlying assets and options, with continuous paths,…
Robust pricing and hedging under trading restrictions and the emergence of local martingale models
Alexander M. G. Cox, Zhaoxu Hou, Jan Obloj
We consider the pricing of derivatives in a setting with trading restrictions, but without any probabilistic assumptions on the underlying model, in discrete and continuous time. I…