Discretisation and duality of optimal Skorokhod embedding problems (Q2000151): Difference between revisions

@@ Property / DOI @@
-.1016/j.spa.2018.07.008
@@ Property / DOI: 10.1016/j.spa.2018.07.008 / rank @@
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@@ Property / OpenAlex ID @@
+W2594909333
@@ Property / OpenAlex ID: W2594909333 / rank @@
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@@ Property / arXiv ID @@
+.07173
@@ Property / arXiv ID: 1702.07173 / rank @@
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@@ Property / cites work @@
+A MODEL-FREE VERSION OF THE FUNDAMENTAL THEOREM OF ASSET PRICING AND THE SUPER-REPLICATION THEOREM
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+No-arbitrage bounds for the forward smile given marginals
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+On Hedging American Options under Model Uncertainty
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+Optimal transport and Skorokhod embedding
@@ Property / cites work: Optimal transport and Skorokhod embedding / rank @@
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+Pathwise superreplication via Vovk's outer measure
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+Model-independent bounds for option prices -- a mass transport approach
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+Complete duality for martingale optimal transport on the line
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+Arbitrage and duality in nondominated discrete-time models
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+Robust hedging of options on a leveraged exchange traded fund
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+Embedding laws in diffusions by functions of time
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@@ Property / cites work @@
+Root's barrier: construction, optimality and applications to variance options
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+Martingale optimal transport and robust hedging in continuous time
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+Robust hedging with proportional transaction costs
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@@ Property / cites work @@
+Martingale optimal transport in the Skorokhod space
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@@ Property / cites work @@
+Probability
@@ Property / cites work: Probability / rank @@
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@@ Property / cites work @@
+Yaglom limit via Holley inequality
@@ Property / cites work: Yaglom limit via Holley inequality / rank @@
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@@ Property / cites work @@
+The geometry of optimal transportation
@@ Property / cites work: The geometry of optimal transportation / rank @@
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@@ Property / cites work @@
+The Kolmogorov-Riesz compactness theorem
@@ Property / cites work: The Kolmogorov-Riesz compactness theorem / rank @@
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@@ Property / cites work @@
+Robust hedging of the lookback option
@@ Property / cites work: Robust hedging of the lookback option / rank @@
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@@ Property / cites work @@
+The Skorokhod Embedding Problem and Model-Independent Bounds for Option Prices
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@@ Property / cites work @@
+Robust pricing-hedging dualities in continuous time
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@@ Property / cites work @@
+The Skorokhod embedding problem and its offspring
@@ Property / cites work: The Skorokhod embedding problem and its offspring / rank @@
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@@ Property / cites work @@
+The Existence of Certain Stopping Times on Brownian Motion
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@@ Property / cites work @@
+The stopping distributions of a Markov process
@@ Property / cites work: The stopping distributions of a Markov process / rank @@
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@@ Property / cites work @@
+Q4107704
@@ Property / cites work: Q4107704 / rank @@
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@@ Property / cites work @@
+Q4596270
@@ Property / cites work: Q4596270 / rank @@
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@@ Property / Wikidata QID @@
+Q129503579
@@ Property / Wikidata QID: Q129503579 / rank @@
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@@ Property / DOI @@
+.1016/J.SPA.2018.07.008
@@ Property / DOI: 10.1016/J.SPA.2018.07.008 / rank @@
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