Maximizing functionals of the maximum in the Skorokhod embedding problem and an application to variance swaps

DOI10.1214/12-AAP893zbMath1278.60078arXiv1012.3909OpenAlexW3103072755MaRDI QIDQ373844

Martin Klimmek, David G. Hobson

Publication date: 25 October 2013

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1012.3909

zbMATH Keywords

variance swapsSkorokhod embedding problemAzéma-Yor solutionPerkins solution

Mathematics Subject Classification ID

Brownian motion (60J65) Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (5)

Model-Independent Bounds for Asian Options: A Dynamic Programming Approach ⋮ Pointwise Arbitrage Pricing Theory in Discrete Time ⋮ Tightness and duality of martingale transport on the Skorokhod space ⋮ An explicit martingale version of the one-dimensional Brenier's theorem with full marginals constraint ⋮ The maximum maximum of a martingale with given \(n\) marginals

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