1 code implementation • 10 Sep 2023 • Joshua Zoen-Git Hiew, Tongseok Lim, Brendan Pass, Marcelo Cruz de Souza
This paper addresses robust finance, which is concerned with the development of models and approaches that account for market uncertainties.
no code implementations • 3 Jul 2023 • Tongseok Lim
In this paper, we consider market models with arbitrarily many underlying assets whose values are observed over arbitrarily many time periods, and demonstrates the existence of a portfolio sub- or super-hedging a general path-dependent derivative security in terms of trading European options and underlyings, as well as the portfolio replicating the derivative payoff when the market model yields the extremal price of the derivative given marginal distributions of the underlyings.
