Root's barrier: construction, optimality and applications to variance options (Q1950255): Difference between revisions

@@ Property / author @@
-Alexander Matthew Gordon Cox
@@ Property / author: Alexander Matthew Gordon Cox / rank @@
-Normal rank
@@ Property / author @@
+Alexander Matthew Gordon Cox
@@ Property / author: Alexander Matthew Gordon Cox / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / arXiv ID @@
+.3583
@@ Property / arXiv ID: 1104.3583 / rank @@
+Normal rank
@@ Property / cites work @@
+Q3935745
@@ Property / cites work: Q3935745 / rank @@
+Normal rank
@@ Property / cites work @@
+The maximum maximum of a martingale constrained by an intermediate law
+Normal rank
@@ Property / cites work @@
+Hedging variance options on continuous semimartingales
+Normal rank
@@ Property / cites work @@
+Variance swaps on time-changed Lévy processes
@@ Property / cites work: Variance swaps on time-changed Lévy processes / rank @@
+Normal rank
@@ Property / cites work @@
+Potential Processes
@@ Property / cites work: Potential Processes / rank @@
+Normal rank
@@ Property / cites work @@
+Q3526638
@@ Property / cites work: Q3526638 / rank @@
+Normal rank
@@ Property / cites work @@
+Local martingales, bubbles and option prices
@@ Property / cites work: Local martingales, bubbles and option prices / rank @@
+Normal rank
@@ Property / cites work @@
+Pathwise inequalities for local time: Applications to Skorokhod embeddings and optimal stopping
+Normal rank
@@ Property / cites work @@
+Robust pricing and hedging of double no-touch options
+Normal rank
@@ Property / cites work @@
+Robust Hedging of Double Touch Barrier Options
@@ Property / cites work: Robust Hedging of Double Touch Barrier Options / rank @@
+Normal rank
@@ Property / cites work @@
+ARBITRAGE BOUNDS FOR PRICES OF WEIGHTED VARIANCE SWAPS
+Normal rank
@@ Property / cites work @@
+Q5724974
@@ Property / cites work: Q5724974 / rank @@
+Normal rank
@@ Property / cites work @@
+Robust hedging of the lookback option
@@ Property / cites work: Robust hedging of the lookback option / rank @@
+Normal rank
@@ Property / cites work @@
+The Skorokhod Embedding Problem and Model-Independent Bounds for Option Prices
+Normal rank
@@ Property / cites work @@
+On the pricing and hedging of volatility derivatives
+Normal rank
@@ Property / cites work @@
+PRICING OPTIONS ON VARIANCE IN AFFINE STOCHASTIC VOLATILITY MODELS
+Normal rank
@@ Property / cites work @@
+Asymptotic and exact pricing of options on variance
+Normal rank
@@ Property / cites work @@
+Stopping times on Brownian motion: Some properties of root's construction
+Normal rank
@@ Property / cites work @@
+On Embedding Right Continuous Martingales in Brownian Motion
+Normal rank
@@ Property / cites work @@
+The Skorokhod embedding problem and its offspring
@@ Property / cites work: The Skorokhod embedding problem and its offspring / rank @@
+Normal rank
@@ Property / cites work @@
+The Maximality Principle Revisited: On Certain Optimal Stopping Problems
+Normal rank
@@ Property / cites work @@
+Optimal stopping of the maximum process: The maximality principle
+Normal rank
@@ Property / cites work @@
+Q4226355
@@ Property / cites work: Q4226355 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4508926
@@ Property / cites work: Q4508926 / rank @@
+Normal rank
@@ Property / cites work @@
+The Existence of Certain Stopping Times on Brownian Motion
+Normal rank
@@ Property / cites work @@
+The stopping distributions of a Markov process
@@ Property / cites work: The stopping distributions of a Markov process / rank @@
+Normal rank
@@ Property / cites work @@
+Q4107704
@@ Property / cites work: Q4107704 / rank @@
+Normal rank
@@ Property / cites work @@
+Q5454433
@@ Property / cites work: Q5454433 / rank @@
+Normal rank
@@ Property / OpenAlex ID @@
+W3100939514
@@ Property / OpenAlex ID: W3100939514 / rank @@
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:1950255