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math.PR2018
Carr-Nadtochiy's Weak Reflection Principle for Markov Chains on
Yuri Imamura
The present paper establishes a discrete version of the result obtained by P. Carr and S. Nadtochiy (2011) for 1-dimensional diffusion processes. Our result is for Markov chains on…
q-fin.PR2018
Asymptotic Static Hedge via Symmetrization
Jiro Akahori, Flavia Barsotti, Yuri Imamura
This paper is a continuation of Akahori-Barsotti-Imamura (2017) and where the authors i) showed that a payment at a random time, which we call timing risk, is decomposed into an in…