SSRN Author: Gaoyue GuoGaoyue Guo SSRN Content
http://www.ssrn.com/author=1920552
http://www.ssrn.com/rss/en-usSun, 29 May 2016 02:39:44 GMTeditor@ssrn.com (Editor)Sun, 29 May 2016 02:39:44 GMTwebmaster@ssrn.com (WebMaster)SSRN RSS Generator 1.0REVISION: Generalised Arbitrage-Free SVI Volatility SurfacesIn this article we propose a generalisation of the recent work of Gatheral-Jacquier on explicit arbitrage-free parameterisations of implied volatility surfaces. We also discuss extensively the notion of arbitrage freeness and Roger Lee's moment formula using the recent analysis by Roper. We further exhibit an arbitrage-free volatility surface different from Gatheral's SVI parameterisation.
http://www.ssrn.com/abstract=2167263
http://www.ssrn.com/1500092.htmlSat, 28 May 2016 07:53:35 GMTNew: Robust Hedging of Options on Local TimeIn this paper, we focus on model-free pricing and robust hedging of options depending on the local time, consistent with Vanilla options. This problem is classically approached by means of the Skorokhod embedding problem (SEP), which consists in representing a given probability on the real line as the distribution of a Brownian motion stopped at a chosen stop- ping time. By using the stochastic control approach initiated in Galichon, Henry-Labordère and Touzi, we recover the optimal hedging strategies and the corresponding prices given by Vallois' embeddings to the SEP. Furthermore, we extend the analysis to the two-marginal case. We provide a construction of two-marginal embedding and some examples for which the robust superhedging problem is solved. Finally, a special multi-marginal case is studied, where we construct a Markov martingale and compute its explicit generator. In particular, we provide a new example of fake Brownian motion.
http://www.ssrn.com/abstract=2692982
http://www.ssrn.com/1446811.htmlSun, 22 Nov 2015 04:00:19 GMT