arXiv subjects

Jonathan Zouari

Publications and source records attributed to Jonathan Zouari.

2 recordsLinked to original sources

arXiv2020

The Value of Insider Information for Super--Replication with Quadratic Transaction Costs

We study super--replication of European contingent claims in an illiquid market with insider information. Illiquidity is captured by quadratic transaction costs and insider information is modeled by an investor who can peek into the future. Our main result describes the scaling limit of the super--replication prices when the number of trading periods increases to infinity. Moreover, the scaling limit gives us the asymptotic value of being an insider.

q-fin.MF↗

arXiv2018

Market Delay and G-expectations

We study super-replication of contingent claims in markets with delayed filtration. The first result in this paper reveals that in the Black--Scholes model with constant delay the super-replication price is prohibitively costly and leads to trivial buy-and-hold strategies. Our second result says that the scaling limit of super--replication prices for binomial models with a fixed number of times of delay $H$ is equal to the $G$--expectation with volatility uncertainty interval $[0,σ\sqrt{H+1}]$.

q-fin.MF↗