2 papers
math.PR2017
Discretisation and Duality of Optimal Skorokhod Embedding Problems
Alexander M. G. Cox, Sam M. Kinsley
We prove a strong duality result for a linear programming problem which has the interpretation of being a discretised optimal Skorokhod embedding problem, and we recover this conti…
q-fin.PR2017
Robust Hedging of Options on a Leveraged Exchange Traded Fund
Alexander M. G. Cox, Sam M. Kinsley
A leveraged exchange traded fund (LETF) is an exchange traded fund that uses financial derivatives to amplify the price changes of a basket of goods. In this paper, we consider the…