The Skorokhod Embedding Problem and Model-Independent Bounds for Option Prices

By David Hobson *. 2011

231 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/f1d0dd5c25f2f73dbf21e643ffeb1a1675432d35

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Citations in the corpus

An Explicit Martingale Version of the One-Dimensional Brenier's Theorem with Full Marginals Constraint (2016, unknown): “Similar to Hobson and Klimmek [28], our continuous-time MT problem is obtained as a continuous-time limit of the multi-marginals MT problem, by considering the limit of the reward function ∑n i=1 c(xti−1 ,xti) as in (2.8), where (ti)1≤i≤n is a partition of the interval [0, 1] with mesh size vanishin”
On a problem of optimal transport under marginal martingale constraints (2012, background): “The Hobson–Neuberger cost function and its converse.”
Martingale optimal transport in the Skorokhod space (2014, methodology): “We refer the reader to the excellent survey of Hobson [18] and to our previous papers [13,14] and to the references therein.”
On the Monge–Kantorovich problem with additional linear constraints (2014, methodology): “We refer to [8], where the described price model is based on a certain optimization on the set of martingale transport plans.”
Optimal Skorokhod embedding given full marginals and Azema-Yor peacocks (2015, unknown): “Let us refer to the survey paper of Obloj [27] and Hobson [19].”
Irreducible convex paving for decomposition of multidimensional martingale transport plans (2017, methodology): “The robust superhedging problem was introduced by Hobson [14], and was addressing specific examples of exotic derivatives by means of corresponding solutions of the Skorohod embedding problem, see [6, 15, 16], and the survey [14].”
Martingale optimal transport and robust hedging in continuous time (2012, methodology): “As in the classical paper of Hobson [13], all call options are traded assets and can be bought for a “reasonable” price that is known initially.”
Optimal transportation under controlled stochastic dynamics (2013, methodology): “We note that the seminal paper by Hobson [23] is crucially based on the connection between the SEP and the above problem of no-arbitrage bounds for a specific restricted class of derivatives prices (e.g., variance options, lookback option, etc.).”
Optimal transport and Skorokhod embedding (2013, methodology): “ in Rd and for general initial distributions. We also note that the above proof of Theorem 2.1 is based on a heuristic derivation of the optimality properties of the Root embedding given by Hobson in [26]. Indeed Hobson’s approach was the starting point of the present paper. 2.2. The Rost embedding.”
Root's barrier: Construction, optimality and applications to variance options. (2011, background): “Our motivation for this is recent work connecting the solution to this problem to questions arising in mathematical finance—specifically model-independent bounds for variance options—which has been observed by Dupire [16], Carr and Lee [5] and Hobson [19].”
Model-free superhedging duality (2015, unknown): “The problem has been studied as a particular case of a Skorokhod embedding problem (see [6, 8, 16]), following the pioneering work [17] on robust hedging.”
Model-independent bounds for option prices—a mass transport approach (2011, unknown): “Due to Hobson [22] (see also [4, Sect.”
The maximum maximum of a martingale with given $\mathbf{n}$ marginals (2012, background): “The superhedging property then reduces to a functional inequality which we verify independently.”
Adapted Wasserstein distances and stability in mathematical finance (2019, background): “Following the publication of Hobson’s seminal article [36] connections with the Skorokhod embedding problem have been a driving force of the field, see the surveys of Hobson [37] and Ob lój [48].”
Complete Duality for Martingale Optimal Transport on the Line (2015, background): “Keywords Martingale Optimal Transport; Kantorovich Duality AMS 2010 Subject Classification 60G42; 49N05”
Arbitrage and duality in nondominated discrete-time models (2013, background): “We refer to the survey [34] which features an extensive list of references.”
A trajectorial interpretation of Doob's martingale inequalities (2012, background): “Given the terminal law μ of a martingale S, Hobson [14], Section 3.”
Structure of optimal martingale transport plans in general dimensions (2015, background): “Hobson-Neuberger [20] were first to deal with the maximization case while Beiglböck-Juillet [5] and D. Hobson and M. Klimmek [19] deal with the context of minimization.”