The maximum maximum of a martingale with given \(n\) marginals (Q259564): Difference between revisions

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+maximum process
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+martingales
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+robust pricing
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+hedging
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+volatility uncertainty
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+optimal transportation
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+pathwise inequalities
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+lookback option
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@@ Property / cites work @@
+A trajectorial interpretation of Doob's martingale inequalities
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@@ Property / cites work @@
+Model-independent bounds for option prices -- a mass transport approach
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@@ Property / cites work @@
+Martingale inequalities and deterministic counterparts
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+A converse to the dominated convergence theorem
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@@ Property / cites work @@
+A model-free no-arbitrage price bound for variance options
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+Arbitrage and duality in nondominated discrete-time models
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+The maximum maximum of a martingale constrained by an intermediate law
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+Robust Hedging of Barrier Options
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+Normal rank
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+On Azéma-Yor processes, their optimal properties and the Bachelier-drawdown equation
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+Pathwise inequalities for local time: Applications to Skorokhod embeddings and optimal stopping
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+Robust pricing and hedging of double no-touch options
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+Robust Hedging of Double Touch Barrier Options
@@ Property / cites work: Robust Hedging of Double Touch Barrier Options / rank @@
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@@ Property / cites work @@
+Root's barrier: construction, optimality and applications to variance options
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@@ Property / cites work @@
+THE RANGE OF TRADED OPTION PRICES
@@ Property / cites work: THE RANGE OF TRADED OPTION PRICES / rank @@
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@@ Property / cites work @@
+A theoretical framework for the pricing of contingent claims in the presence of model uncertainty
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+Martingale optimal transport and robust hedging in continuous time
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@@ Property / cites work @@
+On the Distribution of Maxima of Martingale
@@ Property / cites work: On the Distribution of Maxima of Martingale / rank @@
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@@ Property / cites work @@
+Robust Preferences and Robust Portfolio Choice
@@ Property / cites work: Robust Preferences and Robust Portfolio Choice / rank @@
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@@ Property / cites work @@
+A stochastic control approach to no-arbitrage bounds given marginals, with an application to lookback options
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+Q3802328
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+Normal rank
@@ 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 @@
+Maximizing functionals of the maximum in the Skorokhod embedding problem and an application to variance swaps
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+ROBUST BOUNDS FOR FORWARD START OPTIONS
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+Q4213425
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+Local martingales and the fundamental asset pricing theorems in the discrete-time case
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@@ Property / cites work @@
+Martingales with given maxima and terminal distributions
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@@ Property / cites work @@
+Stochastic and convex orders and lattices of probability measures, with a martingale interpretation
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@@ Property / cites work @@
+Hyperbolic-concave functions and Hardy-Littlewood maximal functions
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@@ Property / cites work @@
+Making Markov martingales meet marginals: With explicit constructions
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+Superreplication under volatility uncertainty for measurable claims
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@@ Property / cites work @@
+Pathwise construction of stochastic integrals
@@ Property / cites work: Pathwise construction of stochastic integrals / rank @@
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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 @@
+An iterated Azéma-Yor type embedding for finitely many marginals
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@@ Property / cites work @@
+Martingale Inequalities for the Maximum via Pathwise Arguments
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@@ Property / cites work @@
+Sharp Martingale and Semimartingale Inequalities
@@ Property / cites work: Sharp Martingale and Semimartingale Inequalities / rank @@
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@@ Property / cites work @@
+On the robust superhedging of measurable claims
@@ Property / cites work: On the robust superhedging of measurable claims / rank @@
+Normal rank
@@ Property / cites work @@
+The joint law of the maximum and terminal value of a martingale
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@@ Property / cites work @@
+Quasi-sure stochastic analysis through aggregation
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+The Existence of Probability Measures with Given Marginals
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+Optimal transportation under controlled stochastic dynamics
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+Q4839512
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+Survey of Measurable Selection Theorems
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+W3098180202
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+Publication:259564