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Root's barrier: construction, optimality and applications to variance options - MaRDI portal

Root's barrier: construction, optimality and applications to variance options (Q1950255)

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Root's barrier: construction, optimality and applications to variance options
scientific article

    Statements

    title
    Root's barrier: construction, optimality and applications to variance options (English)
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    author
    Jiajie Wang
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    publication date
    10 May 2013
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    zbMATH Keywords
    Skorokhod embedding problem
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    Root's barrier
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    variational inequality
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    variance option
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    cites work
    Q3935745
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    Potential Processes
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    Q3526638
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    Q5724974
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    Q4226355
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    Q4508926
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    Q4107704
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    Q5454433
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    Identifiers

    DOI
    10.1214/12-AAP857
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    Mathematics Subject Classification ID
    91G20
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    60G40
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    60J60
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    91G80
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    zbMATH DE Number
    6162079
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    arXiv ID
    1104.3583
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    OpenAlex ID
    W3100939514
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