Model-independent pricing with insider information: a skorokhod embedding approach

DOI10.1017/apr.2020.50zbMath1481.91207arXiv1610.09124OpenAlexW3125963570MaRDI QIDQ5022279

Martin Huesmann, Beatrice Acciaio, Alexander Matthew Gordon Cox

Publication date: 18 January 2022

Published in: Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1610.09124

zbMATH Keywords

inside informationSkorokhod embedding problemmonotonicity principlemodel-independent pricing and hedging

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (1)

Robust Framework for Quantifying the Value of Information in Pricing and Hedging

Cites Work

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