We solve the martingale optimal transport problem for cost functionals represented by optimal stopping problems. The measure-valued martingale approach developed in [A. M. G. Cox and S. Källblad, SIAM J. Control Optim., 55...
We solve the martingale optimal transport problem for cost functionals represented by optimal stopping problems. The measure-valued martingale approach developed in [A. M. G. Cox and S. Källblad, SIAM J. Control Optim., 55...
A leveraged exchange traded fund (LETF) is an exchange traded fund that uses financial derivatives to amplify the price changes of a basket of goods. In this paper, we consider the robust hedging of European options on a...
A leveraged exchange traded fund (LETF) is an exchange traded fund that uses financial derivatives to amplify the price changes of a basket of goods. In this paper, we consider the robust hedging of European options on a...
We prove a strong duality result for a linear programming problem which has the interpretation of being a discretised optimal Skorokhod embedding problem, and we recover this continuous time problem as a limit of the discrete...
We prove a strong duality result for a linear programming problem which has the interpretation of being a discretised optimal Skorokhod embedding problem, and we recover this continuous time problem as a limit of the discrete...
The Skorokhod Embedding Problem is one of the classical problems in the theory of stochastic processes, with applications in many different fields [cf. the surveys (Hobson in: Paris-Princeton lectures on mathematical finance...
|< |
< |
1 |