Root's and Rost's embeddings : construction, optimality and applications to variance options
Root’s solution (Root [1969]) to the Skorokhod embedding problem can be described as the first hitting time of a space-time process (Xt, t) on a so-called barrier, charac- terised by certain properties, such that the stopped underlying process X has a given distribution. Recent work of Dupire [2005]...
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University of Bath
2011
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| Online Access: | https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.582546 |