5 citations · 5 across the 4 of their papers we have counts for
4 papers
Asymptotic Optimal Tracking: Feedback Strategies
Jiatu Cai, Mathieu Rosenbaum, Peter Tankov
This is a companion paper to (Cai, Rosenbaum and Tankov, Asymptotic lower bounds for optimal tracking: a linear programming approach, arXiv:1510.04295). We consider a class of stra…
Asymptotic Lower Bounds for Optimal Tracking: a Linear Programming Approach
Jiatu Cai, Mathieu Rosenbaum, Peter Tankov
We consider the problem of tracking a target whose dynamics is modeled by a continuous Itō semi-martingale. The aim is to minimize both deviation from the target and tracking effor…
Asymptotic replication with modified volatility under small transaction costs
Jiatu Cai, Masaaki Fukasawa
Dynamic hedging of an European option under a general local volatility model with small linear transaction costs is studied. A continuous control version of Leland's strategy that…
Optimal discretization of hedging strategies with directional views
Jiatu Cai, Masaaki Fukasawa, Mathieu Rosenbaum +1
We consider the hedging error of a derivative due to discrete trading in the presence of a drift in the dynamics of the underlying asset. We suppose that the trader wishes to find…