Pages that link to "Item:Q1950255"

The following pages link to Root's barrier: construction, optimality and applications to variance options (Q1950255):

Displaying 45 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)
• Shadows and barriers (Q6126791) (← links)
• Supermartingale Brenier's theorem with full-marginals constraint (Q6134136) (← links)