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Skorokhod embeddings, minimality and non-centred target distributions
2 references·3 citing·11 second hop
Skorokhod embeddings, minimality and non-centred target distributions (2005)Skorokhod embeddings, minimality and non-…The Cereteli-Davis Solution to the H1-Embedding Problem and an Optimal Embedding in Brownian Motion (1986)The Cereteli-Davis Solution t…Skorokhod stopping times of minimal variance (1976)Skorokhod stopping times of m…Optimal Skorokhod Embedding Under Finitely Many Marginal Constraints (2016)Optimal Skorokhod Embedding U…On the Monotonicity Principle of Optimal Skorokhod Embedding Problem (2016)On the Monotonicity Principle…Extending Chacon-Walsh: Minimality and Generalised Starting Distributions (2008)Extending Chacon-Walsh: Minim…Continuous Martingales and Brownian Motion (1999)The Skorokhod embedding problem and its offspring (2004)The Skorokhod embedding problem and its offspring (2004)Robust hedging of the lookback option (1998)MODEL-INDEPENDENT BOUNDS FOR OPTION PRICES: A MASS TRANSPORT APPROACH (2016)A stochastic control approach to no-arbitrage bounds given marginals, with an application to lookback options (2014)The joint law of the maximum and terminal value of a martingale (1993)The maximum maximum of a martingale (1998)The minimum maximum of a continuous martingale with given initial and terminal laws (2002)A Model-Free No-arbitrage Price Bound for Variance Options (2013)Optimal Monitoring Design (2020)
this work references cited by second hop

References

  • 1986The Cereteli-Davis Solution to the H1-Embedding Problem and an Optimal Embedding in Brownian Motion50 cited
  • 1976Skorokhod stopping times of minimal variance47 cited

Cited by

  • 2016Optimal Skorokhod Embedding Under Finitely Many Marginal Constraints31 cited
  • 2008Extending Chacon-Walsh: Minimality and Generalised Starting Distributions25 cited
  • 2016On the Monotonicity Principle of Optimal Skorokhod Embedding Problem22 cited

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