1 citations · 1 across the 1 of their papers we have counts for
2 papers
math.PR2019
Robust pricing and hedging of options on multiple assets and its numerics
Stephan Eckstein, Gaoyue Guo, Tongseok Lim +1
We consider robust pricing and hedging for options written on multiple assets given market option prices for the individual assets. The resulting problem is called the multi-margin…
math.PR2017★ 1 cited
A stability result on optimal Skorokhod embedding
Gaoyue Guo
Motivated by the model- independent pricing of derivatives calibrated to the real market, we consider an optimization problem similar to the optimal Skorokhod embedding problem, wh…