Root's barrier: construction, optimality and applications to variance options
type: Item
instance of: scholarly article
title: Root's barrier: construction, optimality and applications to variance options
zbMATH Open document ID: 1266.91101
DOI: 10.1214/12-AAP857
author: Jiajie Wang
author: Alexander Matthew Gordon Cox
published in: The Annals of Applied Probability
publication date: 2013-05-10T00:00:00Z
full work available at URL: https://arxiv.org/abs/1104.3583
full work available at URL: https://projecteuclid.org/euclid.aoap/1362684848
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 60G40
Mathematics Subject Classification ID: 60J60
Mathematics Subject Classification ID: 91G80
zbMATH DE Number: 6162079
zbMATH Keywords: Skorokhod embedding problem
zbMATH Keywords: Root's barrier
zbMATH Keywords: variational inequality
zbMATH Keywords: variance option
MaRDI profile type: Publication
arXiv ID: 1104.3583
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OpenAlex ID: W3100939514
description: scientific article