The minimum maximum of a continuous martingale with given initial and terminal laws

By David Hobson *, J. L. Pedersen. 2002

55 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/0d65cb01f19fe8b9cb0f7b6d1f653aa8a58936c5

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Citations in the corpus

Martingale optimal transport in the Skorokhod space (2014, result): “The structure studied in this paper is similar to that of [19] and also of [6, 9, 10, 11, 13, 14, 15, 18, 21, 22, 23, 24, 25, 27].”
The Skorokhod Embedding Problem and Model-Independent Bounds for Option Prices (2011, background): “Hobson [32] shows how to adapt the potential picture to extend the Azéma-Yor embedding to this case (see Figure 19) and Hobson and Pedersen [36] consider the extension of the Perkins embedding, and give an application to bounds on the prices of barrier options.”
The Skorokhod embedding problem and its offspring (2004, background): “Az em a and Yor’sconstruction wastaken as a starting point by G randits and Falkner [46]and then by Pedersen and Peskir[89]who worked with non-singulardi usions.”
Model-independent bounds for option prices—a mass transport approach (2011, unknown): “Extensions to the multi-marginal case are addressed in [7, 19, 27, 31].”
Martingale optimal transport and robust hedging in continuous time (2012, result): “ and an explicit solution for the minimal super-replication cost is obtained. This approach is further developed by Brown, Hobson and Rogers [6], Cox and Obloj [10], [12] and in several other papers, [20, 21, 22, 23, 24, 25]. We refer the reader to the excellent survey of Hobson [20] for robust hedg”
ROBUST BOUNDS FOR FORWARD START OPTIONS (2012, background): “Since, in general, there is no unique solution to the SEP, adding an optimality criterion has proved to be a useful way of characterizing solutions with particular properties (e.g., Azéma and Yor 1979; Perkins 1986; Jacka 1991; Vallois 1992, and, for the problem with nontrivial initial law, Hobson ”