[Back]


Talks and Poster Presentations (without Proceedings-Entry):

J. Backhoff, M. Beiglböck, A. Cox, M. Huesmann:
"Root and Rost embeddings, their symmetry, and the robust superhedging of variance options";
Talk: VCMF2016 Vienna Congress on Mathematical Finance, Wien; 2016-09-12 - 2016-09-14.



English abstract:
Recent works by A. Cox and J. Wang have highlighted the connection between the Rost/Root solutions to the Skorokhod Embedding Problem and certain optimal stopping problems. In this talk we present a simple probabilistic argument for this connection (as opposed to the original analytical ones) which furthermore implies an interesting relationship/symmetry between the Rost and Root solutions. Within this framework we shall further explore the associated robust superhedging problem for variance options.
This is joint work with Mathias Beiglböck, Alexander Cox and Martin Huesmann.


Electronic version of the publication:
https://fam.tuwien.ac.at/events/vcmf2016/speakers.php#contributed


Created from the Publication Database of the Vienna University of Technology.