Designing options given the risk: The optimal Skorokhod-embedding problem

DOI10.1016/S0304-4149(98)00097-0zbMath0965.60044MaRDI QIDQ1593624

Goran Peskir

Publication date: 17 January 2001

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

zbMATH Keywords

optimal stoppingBrownian motioncost functionlocal martingalemaximality principleoptimal Skorokhod-embedding problemoption designSkorokhod-embedding problem

Mathematics Subject Classification ID

Related Items (8)

From optimal stopping boundaries to Rost's reversed barriers and the Skorokhod embedding ⋮ On taxed spectrally negative Lévy processes with draw-down stopping ⋮ Embedding laws in diffusions by functions of time ⋮ The root solution to the multi-marginal embedding problem: an optimal stopping and time-reversal approach ⋮ The Azéma-Yor embedding in non-singular diffusions. ⋮ Stopping with expectation constraints: 3 points suffice ⋮ General drawdown based dividend control with fixed transaction costs for spectrally negative Lévy risk processes ⋮ Optimal stopping of the maximum process: a converse to the results of Peskir

Cites Work

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• Formulas for stopped diffusion processes with stopping times based on the maximum
• Optimal stopping of the maximum process: The maximality principle
• The Russian option: Reduced regret
• A converse to the dominated convergence theorem
• The Best Bound in the L logL Inequality of Hardy and Littlewood and its Martingale Counterpart
• On Embedding Right Continuous Martingales in Brownian Motion

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