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Robust Framework for Quantifying the Value of Information in Pricing and Hedging

  • Published:2020-01 Issue:1 Volume:11 Page:27-59
  • ISSN:1945-497X
  • Container-title:SIAM Journal on Financial Mathematics
  • language:en
  • Short-container-title:SIAM J. Finan. Math.

Author:

Aksamit Anna,Hou Zhaoxu,Obłój JanORCID

Funder

Oxford-Man Institute of Quantitative Finance

H2020 European Research Council

Seventh Framework Programme

Balliol College, University of Oxford

St. John's College, University of Oxford

Publisher

Society for Industrial & Applied Mathematics (SIAM)

Subject

Applied Mathematics,Finance,Numerical Analysis

Cited by 5 articles. 订阅此论文施引文献 订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. On intermediate marginals in martingale optimal transportation;Mathematics and Financial Economics;2023-11-07

2. Reduced-form framework for multiple ordered default times under model uncertainty;Stochastic Processes and their Applications;2023-02

3. Robust pricing and hedging via neural stochastic differential equations;Journal of Computational Finance;2023

4. A dynamic programming approach to distribution-constrained optimal stopping;The Annals of Applied Probability;2022-06-01

5. Robust deep hedging;Quantitative Finance;2022-04-25
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