Maximizing functionals of the maximum in the Skorokhod embedding problem and an application to variance swaps
The Az\'{e}ma-Yor solution (resp., the Perkins solution) of the Skorokhod embedding problem has the property that it maximizes (resp., minimizes) the law of the maximum of the stopped process. We show that these constructions have a wider property in that they also maximize (and minimize) expec...
| Main Authors: | , |
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| Formato: | Journal article |
| Idioma: | English |
| Publicado em: |
2010
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