The minimum maximum of a continuous martingale with given initial and terminal laws

DOI10.1214/AOP/1023481014zbMath1016.60047OpenAlexW2130918614MaRDI QIDQ1872282

David G. Hobson, Jesper Lund Pedersen

Publication date: 6 May 2003

Published in: The Annals of Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aop/1023481014

zbMATH Keywords

optimal stoppingoption pricingmartingaleSkorokhod embedding problem

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44) Continuity and singularity of induced measures (60G30)

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Fine properties of the optimal Skorokhod embedding problem ⋮ An explicit martingale version of the one-dimensional Brenier theorem ⋮ Model-independent bounds for option prices -- a mass transport approach ⋮ The geometry of multi-marginal Skorokhod embedding ⋮ Maximizing functionals of the maximum in the Skorokhod embedding problem and an application to variance swaps ⋮ Pathwise superreplication via Vovk's outer measure ⋮ Model-Independent Bounds for Asian Options: A Dynamic Programming Approach ⋮ Hedging variance options on continuous semimartingales ⋮ A Dubins type solution to the Skorokhod embedding problem ⋮ Martingale optimal transport and robust hedging in continuous time ⋮ Martingale optimal transport in the Skorokhod space ⋮ Robust hedging of options on a leveraged exchange traded fund ⋮ ROBUST BOUNDS FOR FORWARD START OPTIONS ⋮ Model-independent hedging strategies for variance swaps ⋮ GAMBLING IN CONTESTS WITH REGRET ⋮ A MODEL-FREE VERSION OF THE FUNDAMENTAL THEOREM OF ASSET PRICING AND THE SUPER-REPLICATION THEOREM ⋮ Optimal Skorokhod Embedding Under Finitely Many Marginal Constraints ⋮ On the Monotonicity Principle of Optimal Skorokhod Embedding Problem ⋮ Pathwise versions of the Burkholder-Davis-Gundy inequality ⋮ A construction of the left-curtain coupling

Cites Work

• Robust hedging of the lookback option
• The joint law of the maximum and terminal value of a martingale
• Martingales with given maxima and terminal distributions
• A converse to the dominated convergence theorem
• The stopping distributions of a Markov process
• Robust Hedging of Barrier Options
• A Guided Tour through Excursions
• On the Distribution of Maxima of Martingale
• The Existence of Probability Measures with Given Marginals
• On a Theorem of Skorohod
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