Some Results on Skorokhod Embedding and Robust Hedging with Local Time
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DOI: 10.1007/s10957-017-1201-5
Abstract: In this paper, we provide some results on Skorokhod embedding with local time and its applications to the robust hedging problem in finance. First we investigate the robust hedging of options depending on the local… read more here.
Keywords: robust hedging; results skorokhod; embedding robust; local time ... See more keywords