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The Skorokhod embedding problem and its offspring
5 references·16 citing·42 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…Processes that can be Embedded in Brownian Motion (1978)Processes that can be Embedde…On the Lp norms of stochastic integrals and other martingales (1976)On the Lp norms of stochastic…Monotone martingale transport plans and Skorokhod embedding (2017)Monotone martingale transport…Tightness and duality of martingale transport on the Skorokhod space (2016)Tightness and duality of mart…OPTIMAL STOPPING UNDER PROBABILITY DISTORTION (2016)OPTIMAL STOPPING UNDER PROBAB…An explicit martingale version of the one-dimensional Brenier’s Theorem with full marginals constraint (2016)An explicit martingale versio…An explicit martingale version of the one-dimensional Brenier theorem (2016)An explicit martingale versio…Pathwise versions of the Burkholder–Davis–Gundy inequality (2015)Pathwise versions of the Burk…Three-dimensional Brownian motion and the golden ratio rule (2013)Three-dimensional Brownian mo…Optimal transportation under controlled stochastic dynamics (2013)Optimal transportation under …Gambling in contests (2013)Gambling in contestsARBITRAGE BOUNDS FOR PRICES OF WEIGHTED VARIANCE SWAPS (2013)ARBITRAGE BOUNDS FOR PRICES O…An Explicit Martingale Version of Brenier's Theorem (2013)An Explicit Martingale Versio…Stochastic Processes (2011)Stochastic ProcessesRobust Hedging of Double Touch Barrier Options (2011)Robust Hedging of Double Touc…Hedging variance options on continuous semimartingales (2009)Hedging variance options on c…On Local Martingale and its Supremum: Harmonic Functions and beyond (2006)On Local Martingale and its S…A class of remarkable submartingales (2006)A class of remarkable submart…The Skorokhod embedding problem and its offspring (2004)SKOROKHOD EMBEDDINGS IN BOUNDED TIME (2011)Optimal Contract to Induce Continued Effort (2017)Optimal Monitoring Schedule in Dynamic Contracts (2017)Limit Theorems for Stochastic Processes (1987)Brownian motion and stochastic calculus (1991)Brownian Motion and Stochastic Calculus (2007)The maximum maximum of a martingale with given $\mathbf{n}$ marginals (2016)Model-free superhedging duality (2017)Stability of martingale optimal transport and weak optimal transport (2022)ON CONTINUOUS MARTINGALES (1965)Pure jump Lévy processes for asset price modelling (2002)Pricing options on realized variance (2005)Ornstein–Uhlenbeck Processes and Extensions (2009)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)Theory of Rational Option Pricing (1973)Theory of rational option pricing (2005)Computational methods for martingale optimal transport problems (2019)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)Handbook of Brownian Motion — Facts and Formulae (1996)Option Prices, Implied Price Processes, and Stochastic Volatility (2000)Handbook of Brownian Motion - Facts and Formulae (2002)Martingale Optimal Transport and Robust Hedging in Continuous Time (2013)Robust hedging with proportional transaction costs (2014)Martingale optimal transport in the Skorokhod space (2015)Prices of State-Contingent Claims Implicit in Option Prices (1978)Mass Transportation Problems (1998)MODEL-INDEPENDENT BOUNDS FOR OPTION PRICES: A MASS TRANSPORT APPROACH (2016)Stability of the shadow projection and the left-curtain coupling (2016)Backward Stochastic Differential Equations in Finance (1997)The Variance Gamma Process and Option Pricing (1998)A General Version of the Fundamental Theorem of Asset Pricing (1994) (2008)$L^P$ Estimates on Iterated Stochastic Integrals (1991)On the Burkholder–Davis–Gundy inequalities for continuous martingales (2008)Nonlinear Young integrals and differential systems in Hölder media (2015)
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
  • 1978Processes that can be Embedded in Brownian Motion161 cited
  • 1976On the Lp norms of stochastic integrals and other martingales122 cited

Cited by

  • 2013Optimal transportation under controlled stochastic dynamics117 cited
  • 2011Stochastic Processes84 cited
  • 2009Hedging variance options on continuous semimartingales80 cited
  • 2011Robust Hedging of Double Touch Barrier Options78 cited
  • 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
  • 2013Gambling in contests53 cited
  • 2006A class of remarkable submartingales44 cited
  • 2015Pathwise versions of the Burkholder–Davis–Gundy inequality39 cited
  • 2013Three-dimensional Brownian motion and the golden ratio rule

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38 cited
  • 2016An explicit martingale version of the one-dimensional Brenier’s Theorem with full marginals constraint37 cited
  • 2017Monotone martingale transport plans and Skorokhod embedding33 cited
  • 2016Tightness and duality of martingale transport on the Skorokhod space31 cited
  • 2013An Explicit Martingale Version of Brenier's Theorem30 cited
  • 2006On Local Martingale and its Supremum: Harmonic Functions and beyond26 cited