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

From MaRDI portal
Importer (talk | contribs)
Changed an Item
ReferenceBot (talk | contribs)
Changed an Item
Property / cites work
 
Property / cites work: Q3935745 / rank
 
Normal rank
Property / cites work
 
Property / cites work: The maximum maximum of a martingale constrained by an intermediate law / rank
 
Normal rank
Property / cites work
 
Property / cites work: Hedging variance options on continuous semimartingales / rank
 
Normal rank
Property / cites work
 
Property / cites work: Variance swaps on time-changed Lévy processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Potential Processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3526638 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Local martingales, bubbles and option prices / rank
 
Normal rank
Property / cites work
 
Property / cites work: Pathwise inequalities for local time: Applications to Skorokhod embeddings and optimal stopping / rank
 
Normal rank
Property / cites work
 
Property / cites work: Robust pricing and hedging of double no-touch options / rank
 
Normal rank
Property / cites work
 
Property / cites work: Robust Hedging of Double Touch Barrier Options / rank
 
Normal rank
Property / cites work
 
Property / cites work: ARBITRAGE BOUNDS FOR PRICES OF WEIGHTED VARIANCE SWAPS / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q5724974 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Robust hedging of the lookback option / rank
 
Normal rank
Property / cites work
 
Property / cites work: The Skorokhod Embedding Problem and Model-Independent Bounds for Option Prices / rank
 
Normal rank
Property / cites work
 
Property / cites work: On the pricing and hedging of volatility derivatives / rank
 
Normal rank
Property / cites work
 
Property / cites work: PRICING OPTIONS ON VARIANCE IN AFFINE STOCHASTIC VOLATILITY MODELS / rank
 
Normal rank
Property / cites work
 
Property / cites work: Asymptotic and exact pricing of options on variance / rank
 
Normal rank
Property / cites work
 
Property / cites work: Stopping times on Brownian motion: Some properties of root's construction / rank
 
Normal rank
Property / cites work
 
Property / cites work: On Embedding Right Continuous Martingales in Brownian Motion / rank
 
Normal rank
Property / cites work
 
Property / cites work: The Skorokhod embedding problem and its offspring / rank
 
Normal rank
Property / cites work
 
Property / cites work: The Maximality Principle Revisited: On Certain Optimal Stopping Problems / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimal stopping of the maximum process: The maximality principle / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4226355 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4508926 / rank
 
Normal rank
Property / cites work
 
Property / cites work: The Existence of Certain Stopping Times on Brownian Motion / rank
 
Normal rank
Property / cites work
 
Property / cites work: The stopping distributions of a Markov process / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4107704 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q5454433 / rank
 
Normal rank

Revision as of 09:56, 6 July 2024

scientific article
Language Label Description Also known as
English
Root's barrier: construction, optimality and applications to variance options
scientific article

    Statements

    Root's barrier: construction, optimality and applications to variance options (English)
    0 references
    0 references
    10 May 2013
    0 references
    Skorokhod embedding problem
    0 references
    Root's barrier
    0 references
    variational inequality
    0 references
    variance option
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references

    Identifiers

    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references