Ariel Neufeld

ETH Zürich

Rämistrasse 101

ZUE F7

Zürich, 8092

Switzerland

SCHOLARLY PAPERS

3

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23

SSRN CITATIONS

4

CROSSREF CITATIONS

0

Scholarly Papers (3)

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1.

Model-free Price Bounds under Dynamic Option Trading

Number of pages: 25 Posted: 18 Feb 2021 Last Revised: 10 Mar 2021
Ariel Neufeld, Julian Sester and Julian Sester
ETH Zürich and University of FreiburgNanyang Technological University (NTU) - School of Physical and Mathematical Sciences
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Martingale optimal transport, European options, Price bounds, Sensitivity

2.

Super‐Replication in Fully Incomplete Markets

Mathematical Finance, Vol. 28, Issue 2, pp. 483-515, 2018
Number of pages: 33 Posted: 16 Mar 2018
Yan Dolinsky and Ariel Neufeld
Hebrew University of Jerusalem and ETH Zürich
Downloads 1 (855,179)
Citation 2

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martingale measures, stochastic volatility, super‐replication

3.

Robust Utility Maximization with Lévy Processes

Mathematical Finance, Vol. 28, Issue 1, pp. 82-105, 2018
Number of pages: 24 Posted: 17 Jan 2018
Ariel Neufeld and Marcel Nutz
ETH Zürich and Columbia University
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Citation 2

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utility maximization, Knightian uncertainty, nonlinear Lévy process