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math.PR2017
Robust Pricing and Hedging around the Globe
Sebastian Herrmann, Florian Stebegg
We consider the martingale optimal transport duality for càdlàg processes with given initial and terminal laws. Strong duality and existence of dual optimizers (robust semi-static…
math.PR2015★ 16 cited
Single Jump Processes and Strict Local Martingales
Martin Herdegen, Sebastian Herrmann
Many results in stochastic analysis and mathematical finance involve local martingales. However, specific examples of strict local martingales are rare and analytically often rathe…