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The Skorokhod embedding problem and its offspring
3 references·16 citing·30 second hop
The Skorokhod embedding problem and its offspring (2004)The Skorokhod embedding problem and its o…A survey and some generalizations of Bessel processes (2003)A survey and some generalizat…Information and option pricings (2001)Information and option pricin…Continuous Martingales and Brownian Motion (1999)Continuous Martingales and Br…Adapted Wasserstein distances and stability in mathematical finance (2020)Adapted Wasserstein distances…The maximum maximum of a martingale with given $\mathbf{n}$ marginals (2016)The maximum maximum of a mart…OPTIMAL STOPPING UNDER PROBABILITY DISTORTION (2016)OPTIMAL STOPPING UNDER PROBAB…An explicit martingale version of the one-dimensional Brenier theorem (2016)An explicit martingale versio…Robust hedging with proportional transaction costs (2014)Robust hedging with proportio…Root’s barrier: Construction, optimality and applications to variance options (2013)Root’s barrier: Construction,…Optimal transportation under controlled stochastic dynamics (2013)Optimal transportation under …Martingale optimal transport and robust hedging in continuous time (2013)Martingale optimal transport …ARBITRAGE BOUNDS FOR PRICES OF WEIGHTED VARIANCE SWAPS (2013)ARBITRAGE BOUNDS FOR PRICES O…A MODEL‐FREE VERSION OF THE FUNDAMENTAL THEOREM OF ASSET PRICING AND THE SUPER‐REPLICATION THEOREM (2013)A MODEL‐FREE VERSION OF THE F…Stochastic Processes (2011)Stochastic ProcessesRobust pricing and hedging of double no-touch options (2011)Robust pricing and hedging of…Robust Hedging of Double Touch Barrier Options (2011)Robust Hedging of Double Touc…The Skorokhod Embedding Problem and Model-Independent Bounds for Option Prices (2010)The Skorokhod Embedding Probl…ROBUST BOUNDS FOR FORWARD START OPTIONS (2010)ROBUST BOUNDS FOR FORWARD STA…Hedging variance options on continuous semimartingales (2009)Hedging variance options on c…Prices of State-Contingent Claims Implicit in Option Prices (1978)Stochastic Finance: An Introduction in Discrete Time (2002)Limit Theorems for Stochastic Processes (1987)Brownian motion and stochastic calculus (1991)Brownian Motion and Stochastic Calculus (2007)Model-free superhedging duality (2017)Stability of martingale optimal transport and weak optimal transport (2022)Stochastic Integration and Differential Equations (2005)Robust price bounds for the forward starting straddle (2014)Duality Formulas for Robust Pricing and Hedging in Discrete Time (2017)A Theory of the Term Structure of Interest Rates (1985)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)THE SPECTRAL DECOMPOSITION OF THE OPTION VALUE (2004)A jump to default extended CEV model: an application of Bessel processes (2006)Time Dependent Heston Model (2010)A general version of the fundamental theorem of asset pricing (1994)A General Version of the Fundamental Theorem of Asset Pricing (1994) (2008)ROBUST FUNDAMENTAL THEOREM FOR CONTINUOUS PROCESSES (2015)The Pricing of Options and Corporate Liabilities (1973)Option pricing: A simplified approach (1979)Continuous Auctions and Insider Trading (1985)An explicit solution to an optimal stopping problem with regime switching (2001)Closed-Form Solutions for Perpetual American Put Options with Regime Switching (2004)Pricing exotic options under regime switching (2006)Stochastic Finance (2004)Encyclopedia of Quantitative Finance (2010)MODEL-INDEPENDENT BOUNDS FOR OPTION PRICES: A MASS TRANSPORT APPROACH (2016)Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market (1995)Backward Stochastic Differential Equations in Finance (1997)The Variance Gamma Process and Option Pricing (1998)
this work references cited by second hop

References

  • 1999Continuous Martingales and Brownian Motion6,200 cited
  • 2003A survey and some generalizations of Bessel processes305 cited
  • 2001Information and option pricings273 cited

Cited by

  • 2010The Skorokhod Embedding Problem and Model-Independent Bounds for Option Prices224 cited
  • 2013Martingale optimal transport and robust hedging in continuous time218 cited
  • 2013A MODEL‐FREE VERSION OF THE FUNDAMENTAL THEOREM OF ASSET PRICING AND THE SUPER‐REPLICATION THEOREM177 cited
  • 2010ROBUST BOUNDS FOR FORWARD START OPTIONS146 cited
  • 2011Robust pricing and hedging of double no-touch options140 cited
  • 2013Optimal transportation under controlled stochastic dynamics117 cited
  • 2013Root’s barrier: Construction, optimality and applications to variance options89 cited
  • 2011Stochastic Processes84 cited
  • 2009Hedging variance options on continuous semimartingales80 cited
  • 2020Adapted Wasserstein distances and stability in mathematical finance80 cited
  • 2014Robust hedging with proportional transaction costs79 cited
  • 2011Robust Hedging of Double Touch Barrier Options78 cited

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  • 2016An explicit martingale version of the one-dimensional Brenier theorem75 cited
  • 2013ARBITRAGE BOUNDS FOR PRICES OF WEIGHTED VARIANCE SWAPS73 cited
  • 2016OPTIMAL STOPPING UNDER PROBABILITY DISTORTION66 cited
  • 2016The maximum maximum of a martingale with given $\mathbf{n}$ marginals57 cited