Optimal Skorokhod embedding under finitely many marginal constraints (Q2818217)
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scientific article; zbMATH DE number 6624245
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| English | Optimal Skorokhod embedding under finitely many marginal constraints |
scientific article; zbMATH DE number 6624245 |
Statements
6 September 2016
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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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Optimal Skorokhod embedding under finitely many marginal constraints (English)
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0.8752824068069458
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0.8685545921325684
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0.8583869338035583
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0.8575536608695984
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0.8477417230606079
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