A unifying class of Skorokhod embeddings: connecting (2006)
York Y Dd, D. G. Hobson, Bath Ba Ay
In this paper we consider the Skorokhod embedding problem in Brownian motion.
A unifying class of Skorokhod embeddings: connecting the Azema-Yor and Vallois embeddings (2005)
In this paper we consider the Skorokhod embedding problem in Brownian motion. In particular, we give a solution based on the local time at zero of a variably skewed Brownian motion related to the...
A unifying class of Skorokhod embeddings: connecting (2005)
York Y Dd, D. G. Hobson, Bath Ba Ay
In this paper we consider the Skorokhod embedding problem in Brownian motion.
Skorokhod embeddings, minimality and non-centred (2004)
York Y Dd, Target Distributions Cox, D. G. Hobson, Bath Ba Ay
In this paper we consider the Skorokhod embedding problem for target distributions with non-zero mean. In the zero-mean case, uniform integrability provides a natural restriction on the class of...
Real Options, Non-traded Assets and Utility Indifference Prices (2003)
We show that the utility indierence (bid) price of a contingent claim is bounded above by the price under the minimal martingale measure. This bound is independent of both the utility function and...
An Optimal Skorokhod Embedding for Diffusions (2002)
Given a Brownian motion $B_t$ and a general target law $\mu$ (not necessarily centered or even integrable) we show how to construct an embedding of $\mu$ in $B$. This embedding is an extension of an...
The Minimum Maximum of a Continuous Martingale with Given Initial and Terminal Laws (2002)
this paper we prove that there exists a greatest lower bound with respect to stochastic ordering of probability measures, on the law of S . We give an explicit construction of this bound. Furthermore...
An Optimal Skorokhod Embedding for Diffusions (2002)
Given a Brownian motion (B_t)t≥0 and a general target law μ (not necessarily centred or even in L¹) we show how to construct an embedding of μ in B. This embedding is an...
The minimum maximum of a continuous martingale with given initial and terminal (2002)
Let (Mt)0≤t≤1 be a continuous martingale with initial law M0 ∼ µ0 and terminal law M1 ∼ µ1 and let S =sup 0≤t≤1 Mt. In this paper we prove that there exists a greatest lower bound with...
An Optimal Skorokhod Embedding for Diffusions (2002)
Given a Brownian motion (B_t) t≥0 and a general target law μ (not necessarily centred or even in L¹) we show how to construct an embedding of μ in B. This embedding is...
The Minimum Maximum of a Continuous Martingale with Given Initial and Terminal Laws (2000)
Let (M t ) 0t1 be a continuous martingale with initial law M 0 0 and terminal law M 1 1 and let S = sup 0t1 M t . In this paper we prove that there exists a greatest lower bound with respect to...