no code implementations • 29 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.
no code implementations • 6 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.
no code implementations • 22 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].