H. Mete Soner

Princeton University - Department of Operations Research & Financial Engineering (ORFE)

Sherrerd Hall, Charlton Street

Princeton, NJ 08544

United States

SCHOLARLY PAPERS

2

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136

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Scholarly Papers (2)

1.

Leveraged ETFs with Market Closure and Frictions

Number of pages: 50 Posted: 07 Jun 2021
Min Dai, Steven Kou, H. Mete Soner and Chen Yang
The Hong Kong Polytechnic University, Boston University, Princeton University - Department of Operations Research & Financial Engineering (ORFE) and The Chinese University of Hong Kong (CUHK) - Department of Systems Engineering and Engineering Management
Downloads 136 (291,761)

Abstract:

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daily rebalancing, leveraged ETFs, market closure, frictions

2.

Large Liquidity Expansion of Super-Hedging Costs

Asymptotic Analysis, 79(1–2):45–64, 2012
Posted: 25 Jul 2022
Dylan Possamaï, H. Mete Soner and Nizar Touzi
ETH Zürich, Princeton University - Department of Operations Research & Financial Engineering (ORFE) and Ecole Polytechnique, Paris

Abstract:

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super-replication, liquidity, viscosity solutions, asymptotic expansions