It is well known that, under a continuity assumption on the price of a stock S, the realized variance on S for maturity T can be replicated by a portfolio of calls and puts maturing at T. This paper assumes call prices on S maturing at T are known for all strikes but makes no continuity...

We study the economic impact of social distancing measures aimed at lowering the proportion of infected individuals to a predetermined level. Using simple economic and epidemiology models, it is proven that strict social distancing measures diminish the aggregate loss in the economic output and...

We give a method based on convex programming to calculate the optimal super-replicating and sub-replicating prices and corresponding hedging portfolios of a financial derivative in terms of other financial derivatives in a discrete-time setting. Our method produces a model that matches the...