27 citations · 61 across the 5 of their papers we have counts for
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q-fin.MF2017
Strict Local Martingales and Optimal Investment in a Black-Scholes Model with a Bubble
Martin Herdegen, Sebastian Herrmann
There are two major streams of literature on the modeling of financial bubbles: the strict local martingale framework and the Johansen-Ledoit-Sornette (JLS) financial bubble model.…
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…
q-fin.MF2017
Model Uncertainty, Recalibration, and the Emergence of Delta-Vega Hedging
Sebastian Herrmann, Johannes Muhle-Karbe
We study option pricing and hedging with uncertainty about a Black-Scholes reference model which is dynamically recalibrated to the market price of a liquidly traded vanilla option…