Root's barrier: construction, optimality and applications to variance options

DOI10.1214/12-AAP857zbMath1266.91101arXiv1104.3583OpenAlexW3100939514MaRDI QIDQ1950255

Jiajie Wang, Alexander Matthew Gordon Cox

Publication date: 10 May 2013

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1104.3583

zbMATH Keywords

variational inequality Skorokhod embedding problem variance option Root's barrier

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites Work