Shuoqing Deng

affiliation not provided to SSRN

SCHOLARLY PAPERS

2

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SSRN CITATIONS

2

CROSSREF CITATIONS

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Scholarly Papers (2)

1.

The Robust Pricing–Hedging Duality for American Options in Discrete Time Financial Markets

Mathematical Finance, Vol. 29, Issue 3, pp. 861-897, 2019
Number of pages: 37 Posted: 29 May 2020
Anna Aksamit, Shuoqing Deng, Jan Obłój and Xiaolu Tan
affiliation not provided to SSRN, affiliation not provided to SSRN, University of Oxford and Université Paris Dauphine - CEREMADE
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Citation 2

Abstract:

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American option, dynamic programming principle, Kantorovich duality, martingale optimal transport, measure valued martingale, nondominated model, randomized stopping times, superreplication, weak formulation, Primary: 60G40, 60G05, Secondary: 49M29

2.

Superreplication with Proportional Transaction Cost Under Model Uncertainty

Mathematical Finance, Vol. 29, Issue 3, pp. 837-860, 2019
Number of pages: 24 Posted: 28 May 2020
Bruno Bouchard and Shuoqing Deng
Université Paris Dauphine - CEREMADE and affiliation not provided to SSRN
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Abstract:

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duality, model uncertainty, superreplication, transaction cost