The Skorokhod Embedding Problem and Model-Independent Bounds for Option Prices
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Publication:3061148
DOI10.1007/978-3-642-14660-2_4zbMath1214.91113OpenAlexW1842249978MaRDI QIDQ3061148
Publication date: 14 December 2010
Published in: Paris-Princeton Lectures on Mathematical Finance 2010 (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/978-3-642-14660-2_4
Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)
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