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Duality and Convergence for Binomial Markets with Friction
Super-replication Liquidity Binomial model Limit theorems G-expectation
2011/7/4
We prove limit theorems for the super-replication cost of European options in a
Binomial model with friction. The examples covered aremarkets with proportional
transaction costs and the illiquid mar...
A duality approach to the worst case value at risk for a sum of dependent random variables with known covariances
aggregation of risks Value at Risk dependent risks risk management
2010/11/3
We propose an approach to the aggregation of risks which is based on estimation of simple quantities (such as covariances) associated to a vector of dependent random variables, and which avoids the us...