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Maximum Maximum of Martingales given Marginals
We consider the problem of superhedging under volatility uncertainty for an investor allowed to dynamically trade the underlying asset and statically trade European... -
A few insights into cliquet options
International audience -
Discretely monitored lookback and barrier options : a semi-analytical approach
All the explicit formulae for the valuation of lookback and barrier options available in the financial literature assume continuous monitoring of the underlying asset....
