Pages that link to "Item:Q1950255"
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The following pages link to Root's barrier: construction, optimality and applications to variance options (Q1950255):
Displayed 44 items.
- The maximum maximum of a martingale with given \(n\) marginals (Q259564) (← links)
- An explicit martingale version of the one-dimensional Brenier theorem (Q309163) (← links)
- Model-independent bounds for option prices -- a mass transport approach (Q354188) (← links)
- A model-free no-arbitrage price bound for variance options (Q373003) (← links)
- Martingale optimal transport and robust hedging in continuous time (Q466902) (← links)
- Robust price bounds for the forward starting straddle (Q486935) (← links)
- Tightness and duality of martingale transport on the Skorokhod space (Q511137) (← links)
- Robust hedging of options on a leveraged exchange traded fund (Q670750) (← links)
- An explicit martingale version of the one-dimensional Brenier's theorem with full marginals constraint (Q737181) (← links)
- Root's barrier, viscosity solutions of obstacle problems and reflected FBSDEs (Q744977) (← links)
- A counterexample to the Cantelli conjecture through the Skorokhod embedding problem (Q888527) (← links)
- Embedding laws in diffusions by functions of time (Q888534) (← links)
- Some results on Skorokhod embedding and robust hedging with local time (Q1626510) (← links)
- From optimal stopping boundaries to Rost's reversed barriers and the Skorokhod embedding (Q1650132) (← links)
- Robust pricing-hedging dualities in continuous time (Q1650938) (← links)
- The root solution to the multi-marginal embedding problem: an optimal stopping and time-reversal approach (Q1729695) (← links)
- Robust bounds for the American put (Q1739057) (← links)
- Discretisation and duality of optimal Skorokhod embedding problems (Q2000151) (← links)
- A free boundary characterisation of the root barrier for Markov processes (Q2032420) (← links)
- From Bachelier to Dupire via optimal transport (Q2072111) (← links)
- Fine properties of the optimal Skorokhod embedding problem (Q2119390) (← links)
- The geometry of multi-marginal Skorokhod embedding (Q2174667) (← links)
- Discretionary stopping of stochastic differential equations with generalised drift (Q2279339) (← links)
- Minimal Root's embeddings for general starting and target distributions (Q2289795) (← links)
- Pathwise versions of the Burkholder-Davis-Gundy inequality (Q2345124) (← links)
- Finite, integrable and bounded time embeddings for diffusions (Q2348736) (← links)
- An integral equation for Root's barrier and the generation of Brownian increments (Q2354891) (← links)
- Optimal transport and Skorokhod embedding (Q2356918) (← links)
- Bounds for VIX futures given S{\&}P 500 smiles (Q2364530) (← links)
- PDE methods for optimal Skorokhod embeddings (Q2421278) (← links)
- Martingale Inequalities for the Maximum via Pathwise Arguments (Q2798582) (← links)
- MODEL-INDEPENDENT NO-ARBITRAGE CONDITIONS ON AMERICAN PUT OPTIONS (Q2800003) (← links)
- Processes That Can Be Embedded in a Geometric Brownian Motion (Q2811893) (← links)
- ROBUST TRADING OF IMPLIED SKEW (Q2976126) (← links)
- Martingale Inequalities, Optimal Martingale Transport, and Robust Superhedging (Q3465124) (← links)
- Model-Independent Bounds for Asian Options: A Dynamic Programming Approach (Q4591237) (← links)
- Duality Formulas for Robust Pricing and Hedging in Discrete Time (Q4607049) (← links)
- Model-independent pricing with insider information: a skorokhod embedding approach (Q5022279) (← links)
- On the continuity of the root barrier (Q5081540) (← links)
- Pointwise Arbitrage Pricing Theory in Discrete Time (Q5108229) (← links)
- Robust Framework for Quantifying the Value of Information in Pricing and Hedging (Q5112530) (← links)
- On the Root Solution to the Skorokhod Embedding Problem Given Full Marginals (Q5130027) (← links)
- Optimal Transport with Controlled Dynamics and Free End Times (Q5374437) (← links)
- Supermartingale Brenier's theorem with full-marginals constraint (Q6134136) (← links)