Zhou Zhou

The University of Sydney

University of Sydney

Sydney, NSW 2006

Australia

SCHOLARLY PAPERS

20

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704

SSRN CITATIONS
Rank 26,444

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Top 26,444

in Total Papers Citations

14

CROSSREF CITATIONS

20

Scholarly Papers (20)

1.

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 88 (338,618)
Citation 3

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

2.

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 73 (377,722)
Citation 2

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

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 68 (392,541)
Citation 3

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

4.

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 48 (462,695)
Citation 2

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

5.

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 47 (466,757)

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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

6.

Utility Maximization When Shorting American Options

To appear in SIAM Journal on Financial Mathematics
Number of pages: 27 Posted: 15 Oct 2019 Last Revised: 06 Oct 2020
Zhou Zhou
The University of Sydney
Downloads 42 (488,204)

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

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 42 (488,204)
Citation 2

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8.

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 (497,084)
Citation 4

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

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 35 (532,984)
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
Downloads 0
Citation 2
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fundamental theorem of asset pricing, sub‐(super‐)hedging, model uncertainty, portfolio constraints, optional decomposition

10.

Equilibrium concepts for time-inconsistent stopping problems in continuous time

To appear in Mathematical Finance
Number of pages: 19 Posted: 14 Sep 2019 Last Revised: 02 Oct 2020
University of Michigan at Ann Arbor - Department of Mathematics, University of Michigan at Ann Arbor - Department of Mathematics and The University of Sydney
Downloads 31 (541,413)
Citation 3

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

11.

Optimal Equilibrium Barrier Strategies for Time-Inconsistent Dividend Problems in Discrete Time

Insurance: Mathematics and Economics, Forthcoming
Number of pages: 16 Posted: 15 Apr 2020 Last Revised: 30 Jun 2020
Zhuo Jin and Zhou Zhou
University of Melbourne and The University of Sydney
Downloads 26 (570,242)

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Time Inconsistency, Decreasing Impatience, Dividend Barrier, Non-Exponential Discounting, Equilibrium Strategy

12.

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 26 (570,242)

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

13.

Non-Zero-Sum Stopping Games in Discrete Time

Number of pages: 10 Posted: 25 Aug 2015
Zhou Zhou
The University of Sydney
Downloads 25 (576,562)
Citation 1

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Non-zero-sum, stopping games, Nash equilibrium

14.

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 24 (582,993)

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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

15.

Teamwise Mean Field Competitions

Number of pages: 31 Posted: 22 Jul 2020
Xiang Yu, Yuchong Zhang and Zhou Zhou
Hong Kong Polytechnic University, University of Toronto - Department of Statistics and The University of Sydney
Downloads 23 (589,456)
Citation 2

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16.

Non-Zero-Sum Stopping Games in Continuous Time

Number of pages: 10 Posted: 21 Aug 2015
Zhou Zhou
The University of Sydney
Downloads 22 (595,958)
Citation 2

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

17.

Multi-Player Stopping Games in Continuous Time

Number of pages: 18 Posted: 14 Sep 2015
Zhou Zhou
The University of Sydney
Downloads 15 (643,662)

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Multi-player, stopping games, Nash equilibrium.

18.

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 (650,878)
Citation 2

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

19.

Optimal Relative Performance Criteria in Mean Field Contribution Games

Number of pages: 36 Posted: 08 Feb 2021
Zhou Zhou
The University of Sydney
Downloads 13 (658,215)

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optimal relative performance criteria, mean field contribution games, free rider issue, centralized control, two-layer mean field game

20.

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 (743,684)

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