Discretisation and duality of optimal Skorokhod embedding problems

DOI10.1016/j.spa.2018.07.008zbMath1478.60132arXiv1702.07173OpenAlexW2594909333WikidataQ129503579 ScholiaQ129503579MaRDI QIDQ2000151

Sam M. Kinsley, Alexander Matthew Gordon Cox

Publication date: 28 June 2019

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1702.07173

zbMATH Keywords

Skorokhod embedding

Mathematics Subject Classification ID

Discrete-time Markov processes on general state spaces (60J05) Linear programming (90C05) Brownian motion (60J65) Stopping times; optimal stopping problems; gambling theory (60G40) Discrete approximations in optimal control (49M25)

Related Items (3)

Fine properties of the optimal Skorokhod embedding problem ⋮ On the denseness of the subset of discrete distributions in a certain set of two-dimensional distributions ⋮ Robust hedging of options on a leveraged exchange traded fund

Cites Work

• Unnamed Item
• Unnamed Item
• Model-independent bounds for option prices -- a mass transport approach
• Martingale optimal transport and robust hedging in continuous time
• Robust hedging with proportional transaction costs
• Martingale optimal transport in the Skorokhod space
• The Kolmogorov-Riesz compactness theorem
• Robust hedging of options on a leveraged exchange traded fund
• Embedding laws in diffusions by functions of time
• The Skorokhod embedding problem and its offspring
• Robust hedging of the lookback option
• The geometry of optimal transportation
• Robust pricing-hedging dualities in continuous time
• Complete duality for martingale optimal transport on the line
• Root's barrier: construction, optimality and applications to variance options
• Arbitrage and duality in nondominated discrete-time models
• Yaglom limit via Holley inequality
• Optimal transport and Skorokhod embedding
• Pathwise superreplication via Vovk's outer measure
• The stopping distributions of a Markov process
• A MODEL-FREE VERSION OF THE FUNDAMENTAL THEOREM OF ASSET PRICING AND THE SUPER-REPLICATION THEOREM
• The Skorokhod Embedding Problem and Model-Independent Bounds for Option Prices
• No-arbitrage bounds for the forward smile given marginals
• On Hedging American Options under Model Uncertainty
• The Existence of Certain Stopping Times on Brownian Motion
• Probability

This page was built for publication: Discretisation and duality of optimal Skorokhod embedding problems