Processes That Can Be Embedded in a Geometric Brownian Motion (Q2811893): Difference between revisions

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-Mikhail A. Urusov
@@ Property / author: Mikhail A. Urusov / rank @@
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@@ Property / author @@
+Mikhail A. Urusov
@@ Property / author: Mikhail A. Urusov / rank @@
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+.1172
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@@ Property / cites work @@
+A trajectorial interpretation of Doob's martingale inequalities
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+A BSDE APPROACH TO THE SKOROKHOD EMBEDDING PROBLEM FOR THE BROWNIAN MOTION WITH DRIFT
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+Finite, integrable and bounded time embeddings for diffusions
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+SKOROKHOD EMBEDDINGS IN BOUNDED TIME
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+Change of Time and Change of Measure
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+An optimal Skorokhod embedding for diffusions
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+Skorokhod embeddings, minimality and non-centred target distributions
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+Robust Hedging of Double Touch Barrier Options
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+Robust pricing and hedging of double no-touch options
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+Robust hedging of the lookback option
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+The Skorokhod Embedding Problem and Model-Independent Bounds for Option Prices
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+The asymptotic elasticity of utility functions and optimal investment in incomplete markets
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+On Embedding Right Continuous Martingales in Brownian Motion
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+Processes that can be embedded in Brownian motion
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+The Skorokhod embedding problem and its offspring
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+PERFORMANCE OF ROBUST HEDGES FOR DIGITAL DOUBLE BARRIER OPTIONS
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+The Azéma-Yor embedding in non-singular diffusions.
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