Search Results for author: Thomas Reitsam

Found 3 papers, 0 papers with code

Neural network approximation for superhedging prices

no code implementations29 Jul 2021 Francesca Biagini, Lukas Gonon, Thomas Reitsam

First we prove that the $\alpha$-quantile hedging price converges to the superhedging price at time $0$ for $\alpha$ tending to $1$, and show that the $\alpha$-quantile hedging price can be approximated by a neural network-based price.

A dynamic version of the super-replication theorem under proportional transaction costs

no code implementations6 Jul 2021 Francesca Biagini, Thomas Reitsam

We extend the super-replication theorems of [27] in a dynamic setting, both in the num\'eraire-based as well as in the num\'eraire-free setting.

Asset Price Bubbles in market models with proportional transaction costs

no code implementations22 Nov 2019 Francesca Biagini, Thomas Reitsam

We study asset price bubbles in market models with proportional transaction costs $\lambda\in (0, 1)$ and finite time horizon $T$ in the setting of [49].

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