Maximizing functionals of the maximum in the Skorokhod embedding problem and an application to variance swaps (Q373844)
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scientific article; zbMATH DE number 6220093
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| English | Maximizing functionals of the maximum in the Skorokhod embedding problem and an application to variance swaps |
scientific article; zbMATH DE number 6220093 |
Statements
Maximizing functionals of the maximum in the Skorokhod embedding problem and an application to variance swaps (English)
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25 October 2013
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Skorokhod embedding problem
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Azéma-Yor solution
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Perkins solution
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variance swaps
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0.8102705478668213
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0.7995632886886597
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0.7932035326957703
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0.7903788089752197
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