Designing options given the risk: The optimal Skorokhod-embedding problem (Q1593624)
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scientific article; zbMATH DE number 1554304
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Designing options given the risk: The optimal Skorokhod-embedding problem |
scientific article; zbMATH DE number 1554304 |
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Designing options given the risk: The optimal Skorokhod-embedding problem (English)
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17 January 2001
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The paper presents a solution of the optimal Skorokhod-embedding problem. The problem consists in the design of cost function and stopping time such that the stopped Brownian motion has the prescribed distribution while the stopping time maximizes the mean of the Brownian motion maximum deduced by the costs.
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Skorokhod-embedding problem
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optimal Skorokhod-embedding problem
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optimal stopping
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option design
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cost function
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Brownian motion
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local martingale
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maximality principle
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0.88609403
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0.8712933
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0.8691073
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0.8682923
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0.8642155
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0.85028523
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0.8459835
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