scientific article

zbMath1165.60019arXivmath/0503535MaRDI QIDQ3526638

Alexander Matthew Gordon Cox

Publication date: 25 September 2008

Full work available at URL: https://arxiv.org/abs/math/0503535

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

Brownian motionSkorokhod embeddingminimal stopping timeChacon-Walsh construction

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44)

Related Items (11)

Canonical supermartingale couplings ⋮ Monotone martingale transport plans and Skorokhod embedding ⋮ Integrated quantile functions: properties and applications ⋮ Root's barrier: construction, optimality and applications to variance options ⋮ Robust pricing and hedging of double no-touch options ⋮ Robust bounds for the American put ⋮ Minimal Root's embeddings for general starting and target distributions ⋮ Processes That Can Be Embedded in a Geometric Brownian Motion ⋮ Robust pricing and hedging around the globe ⋮ Stopping with expectation constraints: 3 points suffice ⋮ Optimal transport and Skorokhod embedding

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