Zhou Zhou

The University of Sydney

University of Sydney

Sydney, NSW 2006

Australia

SCHOLARLY PAPERS

17

DOWNLOADS

537

SSRN CITATIONS
Rank 31,423

SSRN RANKINGS

Top 31,423

in Total Papers Citations

4

CROSSREF CITATIONS

16

Scholarly Papers (17)

1.

Arbitrage, Hedging and Utility Maximization Using Semi-Static Trading Strategies with American Options

Number of pages: 14 Posted: 26 Feb 2015 Last Revised: 27 Feb 2015
Erhan Bayraktar and Zhou Zhou
University of Michigan at Ann Arbor - Department of Mathematics and The University of Sydney
Downloads 71 (332,088)
Citation 2

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Fundamental theorem of asset pricing, hedging duality, utility maximization, semi-static trading strategies, American options

2.

Time Consistent Stopping for the Mean-Standard Deviation Problem --- The Discrete Time Case

Number of pages: 27 Posted: 05 Mar 2018
University of Michigan at Ann Arbor - Department of Mathematics, University of Michigan at Ann Arbor - Department of Mathematics and The University of Sydney
Downloads 68 (339,984)

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Time-inconsistency, optimal stopping, liquidation strategy, mean-variance problem, subgame perfect Nash equilibrium

3.

On Hedging American Options Under Model Uncertainty

Number of pages: 20 Posted: 27 Jan 2014
Erhan Bayraktar, Yu-Jui Huang and Zhou Zhou
University of Michigan at Ann Arbor - Department of Mathematics, University of Colorado at Boulder - Department of Applied Mathematics and The University of Sydney
Downloads 63 (353,833)
Citation 3

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American options, model independent pricing, semi-static hedging strategies

4.

A Note on the Fundamental Theorem of Asset Pricing Under Model Uncertainty

Risks, 2(4), 425-433, 2014
Number of pages: 9 Posted: 17 Apr 2014 Last Revised: 09 May 2015
University of Michigan at Ann Arbor - Department of Mathematics, University of Toronto - Department of Statistics and The University of Sydney
Downloads 46 (408,655)

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Model uncertainty, bid-ask prices for options, semi-static hedging, non-dominated collection of probability measures, Fundamental Theorem of Asset Pricing, super-hedging, robust no-arbitrage, non-redundant options

5.

Super-Hedging American Options with Semi-Static Trading Strategies Under Model Uncertainty

Number of pages: 8 Posted: 28 May 2016
Erhan Bayraktar and Zhou Zhou
University of Michigan at Ann Arbor - Department of Mathematics and The University of Sydney
Downloads 44 (416,051)
Citation 2

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American options, super-hedging, model uncertainty, semi-static trading strategies, randomized models

6.

On Zero-Sum Optimal Stopping Games

Number of pages: 8 Posted: 19 Aug 2014
Erhan Bayraktar and Zhou Zhou
University of Michigan at Ann Arbor - Department of Mathematics and The University of Sydney
Downloads 40 (431,453)
Citation 3

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Stopping games with priority, non-anticipative stopping strategies, American options

7.

No-Arbitrage and Hedging with Liquid American Options

Number of pages: 21 Posted: 28 May 2016
Erhan Bayraktar and Zhou Zhou
University of Michigan at Ann Arbor - Department of Mathematics and The University of Sydney
Downloads 38 (439,710)
Citation 2

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On Arbitrage and Duality Under Model Uncertainty and Portfolio Constraints

Number of pages: 20 Posted: 13 Feb 2014
Erhan Bayraktar and Zhou Zhou
University of Michigan at Ann Arbor - Department of Mathematics and The University of Sydney
Downloads 34 (467,627)
Citation 1

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Fundamental theorem of asset pricing, sub-(super-)hedging, model uncertainty, portfolio constraints, optional decomposition

On Arbitrage and Duality Under Model Uncertainty and Portfolio Constraints

Mathematical Finance, Vol. 27, Issue 4, pp. 988-1012, 2017
Number of pages: 25 Posted: 19 Sep 2017
Erhan Bayraktar and Zhou Zhou
University of Michigan at Ann Arbor - Department of Mathematics and The University of Sydney
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fundamental theorem of asset pricing, sub‐(super‐)hedging, model uncertainty, portfolio constraints, optional decomposition

9.

On an Optimal Stopping Problem of an Insider

Number of pages: 6 Posted: 23 Apr 2014
Erhan Bayraktar and Zhou Zhou
University of Michigan at Ann Arbor - Department of Mathematics and The University of Sydney
Downloads 24 (507,195)

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optimal stopping problem of an insider, Reflected Backward Stochastic Differential Equations (RBSDEs), Levy's modulus for Brownian motion

10.

Transport Plans with Domain Constraints

Number of pages: 21 Posted: 01 May 2018 Last Revised: 30 Aug 2019
Erhan Bayraktar, Xin Zhang and Zhou Zhou
University of Michigan at Ann Arbor - Department of Mathematics, University of Michigan at Ann Arbor - Department of Mathematics and The University of Sydney
Downloads 21 (524,722)

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Option Pricing, Strassen's Theorem, Kellerer's Theorem, Martingale optimal transport, domain constraints, bounded volatility/quadratic variation, G-expectations, Kantorovich duality, monotonicity principle

11.

Non-Zero-Sum Stopping Games in Discrete Time

Number of pages: 10 Posted: 25 Aug 2015
Zhou Zhou
The University of Sydney
Downloads 21 (524,722)
Citation 1

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Non-zero-sum, stopping games, Nash equilibrium

12.

Non-Zero-Sum Stopping Games in Continuous Time

Number of pages: 10 Posted: 21 Aug 2015
Zhou Zhou
The University of Sydney
Downloads 20 (530,514)
Citation 2

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Non-zero-sum, stopping games, epsilon-Nash equilibrium

13.

Multi-Player Stopping Games in Continuous Time

Number of pages: 18 Posted: 14 Sep 2015
Zhou Zhou
The University of Sydney
Downloads 14 (566,637)

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Multi-player, stopping games, Nash equilibrium.

14.

On Controller-Stopper Problems with Jumps and Their Applications to Indifference Pricing of American Options

Siam Journal of Financial Math, Vol. 5, pp. 20-49, 2013
Number of pages: 29 Posted: 07 Feb 2014
Erhan Bayraktar and Zhou Zhou
University of Michigan at Ann Arbor - Department of Mathematics and The University of Sydney
Downloads 14 (566,637)
Citation 1

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controller-stopper problems, jumps, decomposition, indifference pricing, American options, RBSDEs

15.

Utility Maximization When Shorting American Options

Number of pages: 26 Posted: 15 Oct 2019
Zhou Zhou
The University of Sydney
Downloads 9 (598,575)

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Shorting American options, robust utility maximization, semi-static trading strategy, non-anticipative strategy, liquidating strategy, rondomized stopping time

16.

On the Notions of Equilibria for Time-Inconsistent Stopping Problems in Continuous Time

Number of pages: 11 Posted: 14 Sep 2019
University of Michigan at Ann Arbor - Department of Mathematics, University of Michigan at Ann Arbor - Department of Mathematics and The University of Sydney
Downloads 8 (605,224)

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Time-inconsistency, optimal stopping, strong equilibria, weak equilibria, mild equilibria, non-exponential discounting, subgame perfect Nash equilibrium

17.

Robust No Arbitrage and the Solvability of Vector-Valued Utility Maximization Problems

Number of pages: 9 Posted: 06 Sep 2019
Andreas Hamel, Birgit Rudloff and Zhou Zhou
Free University of Bozen-Bolzano, Vienna University of Economics and Business and The University of Sydney
Downloads 2 (649,394)

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Bid-ask spread, robust no arbitrage, Pareto maximizer, utility maximization, consistent price process