Optimal Skorokhod Embedding Under Finitely Many Marginal Constraints (Q2818217)

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Optimal Skorokhod Embedding Under Finitely Many Marginal Constraints
scientific article

    Statements

    title
    Optimal Skorokhod Embedding Under Finitely Many Marginal Constraints (English)
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    author
    Gaoyue Guo
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    Xiaolu Tan
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    Nizar Touzi
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    publication date
    6 September 2016
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    zbMATH Keywords
    Skorokhod embedding
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    stopping time
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    Brownian motion
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    convex duality
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    martingale optimal transport
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    model-free pricing
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    robust hedging
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    cites work
    Q3324742
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    Q3957682
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    Q3957683
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    Q3925594
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    Q4035959
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    Q3908230
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    Q4368791
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    Q3378055
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    Q4226355
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    Q3862204
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    Q4195696
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    Optimal Transport
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    Identifiers

    DOI
    10.1137/15M1025256
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    Mathematics Subject Classification ID
    60G40
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    60J65
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    49N15
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    91G20
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    zbMATH DE Number
    6624245
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    arXiv ID
    1506.04063
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    OpenAlex ID
    W2963644125
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