Some results on Skorokhod embedding and robust hedging with local time
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Publication:1626510
DOI10.1007/s10957-017-1201-5zbMath1402.60046arXiv1511.07230OpenAlexW2765939861MaRDI QIDQ1626510
Gaoyue Guo, Pierre Henry-Labordère, Julien Claisse
Publication date: 27 November 2018
Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1511.07230
Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items
The geometry of multi-marginal Skorokhod embedding ⋮ On the Root Solution to the Skorokhod Embedding Problem Given Full Marginals ⋮ Embedding of Walsh Brownian motion ⋮ Peacock geodesics in Wasserstein space ⋮ Computational methods for martingale optimal transport problems ⋮ Optimal Skorokhod Embedding Under Finitely Many Marginal Constraints
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