Optimal transport and Skorokhod embedding
The Skorokhod embedding problem is to represent a given probability as the distribution of
Brownian motion at a chosen stopping time. Over the last 50 years this has become one of …
Brownian motion at a chosen stopping time. Over the last 50 years this has become one of …
[图书][B] Model-free hedging: A martingale optimal transport viewpoint
P Henry-Labordère - 2017 - taylorfrancis.com
Model-free Hedging: A Martingale Optimal Transport Viewpoint focuses on the computation
of model-independent bounds for exotic options consistent with market prices of liquid …
of model-independent bounds for exotic options consistent with market prices of liquid …
The Root solution to the multi-marginal embedding problem: an optimal stopping and time-reversal approach
We provide a complete characterisation of the Root solution to the Skorokhod embedding
problem (SEP) by means of an optimal stopping formulation. Our methods are purely …
problem (SEP) by means of an optimal stopping formulation. Our methods are purely …
Robust option pricing with volatility term structure--An empirical study for variance options
AMG Cox, AM Grass - arXiv preprint arXiv:2312.09201, 2023 - arxiv.org
The robust option pricing problem is to find upper and lower bounds on fair prices of
financial claims using only the most minimal assumptions. It contrasts with the classical …
financial claims using only the most minimal assumptions. It contrasts with the classical …
[HTML][HTML] Root's barrier, viscosity solutions of obstacle problems and reflected FBSDEs
We revisit work of Rost (1976), Dupire (2005) and Cox–Wang (2013) on connections
between Root's solution of the Skorokhod embedding problem and obstacle problems. We …
between Root's solution of the Skorokhod embedding problem and obstacle problems. We …
Delayed switching identities and multi-marginal solutions to the Skorokhod embedding problem
AMG Cox, AM Grass - arXiv preprint arXiv:2312.04218, 2023 - arxiv.org
In this article, we consider a generalisation of the Skorokhod embedding problem (SEP) with
a delayed starting time. In the delayed SEP, we look for stopping times which embed a given …
a delayed starting time. In the delayed SEP, we look for stopping times which embed a given …
Perkins embedding for general starting laws
A Grass - arXiv preprint arXiv:2307.03618, 2023 - arxiv.org
The Skorokhod embedding problem (SEP) is to represent a given probability measure as a
Brownian motion $ B $ at a particular stopping time. In recent years particular attention has …
Brownian motion $ B $ at a particular stopping time. In recent years particular attention has …
A free boundary characterisation of the Root barrier for Markov processes
We study the existence, optimality, and construction of non-randomised stopping times that
solve the Skorokhod embedding problem (SEP) for Markov processes which satisfy a duality …
solve the Skorokhod embedding problem (SEP) for Markov processes which satisfy a duality …
On the Root solution to the Skorokhod embedding problem given full marginals
This paper examines the Root solution of the Skorokhod embedding problem given full
marginals on some compact time interval. Our results are obtained by limiting arguments …
marginals on some compact time interval. Our results are obtained by limiting arguments …
On Skorokhod embeddings and Poisson equations
The classical Skorokhod embedding problem for a Brownian motion W asks to find a
stopping time τ so that W_τ is distributed according to a prescribed probability distribution μ …
stopping time τ so that W_τ is distributed according to a prescribed probability distribution μ …