Designing options given the risk: The optimal Skorokhod-embedding problem
type: Item
instance of: scholarly article
title: Designing options given the risk: The optimal Skorokhod-embedding problem
zbMATH Open document ID: 0965.60044
DOI: 10.1016/S0304-4149(98)00097-0
author: Goran Peskir
published in: Stochastic Processes and their Applications
publication date: 2001-01-17T00:00:00Z
review text: The paper presents a solution of the optimal Skorokhod-embedding problem. The problem consists in the design of cost function and stopping time such that the stopped Brownian motion has the prescribed distribution while the stopping time maximizes the mean of the Brownian motion maximum deduced by the costs.
Mathematics Subject Classification ID: 60G40
Mathematics Subject Classification ID: 91B28
Mathematics Subject Classification ID: 62L15
zbMATH DE Number: 1554304
zbMATH Keywords: Skorokhod-embedding problem
zbMATH Keywords: optimal Skorokhod-embedding problem
zbMATH Keywords: optimal stopping
zbMATH Keywords: option design
zbMATH Keywords: cost function
zbMATH Keywords: Brownian motion
zbMATH Keywords: local martingale
zbMATH Keywords: maximality principle
reviewed by: Petr Lachout
MaRDI profile type: Publication
cites work: Q3049602
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description: scientific article; zbMATH DE number 1554304