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Probability Theory and Related Fields
Volumn 119, Issue 4, 2001, Pages 558-578
The maximum maximum of a martingale constrained by an intermediate law
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EID: 0035625342     PISSN: 01788051     EISSN: None     Source Type: Journal    
DOI: 10.1007/PL00008771     Document Type: Article
Times cited : (24)
References (16)
  • 1
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    • Azéma, J.1    Gundy, R.F.2    Yor, M.3
  • 2
    • 0002483109 scopus 로고
    • Une solution simple au problème de Skorohod
    • Azéma, J., Yor, M.: Une solution simple au problème de Skorohod, Séminaire de Probabilités, XIII, 90-115 (1979)
    • (1979) Séminaire de Probabilités , vol.13 , pp. 90-115
    • Azéma, J.1    Yor, M.2
  • 4
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    • Prices of state-contingent claims implicit in options prices
    • Breeden, D., Litzenberger, R.H.: Prices of state-contingent claims implicit in options prices, Journal of Business, 51, 621-651 (1978)
    • (1978) Journal of Business , vol.51 , pp. 621-651
    • Breeden, D.1    Litzenberger, R.H.2
  • 6
    • 0000884674 scopus 로고
    • Model art
    • Dupire, B.: Model Art, Risk, 6, 118-124 (1993)
    • (1993) Risk , vol.6 , pp. 118-124
    • Dupire, B.1
  • 7
    • 0002004145 scopus 로고
    • Pricing with a smile
    • Dupire, B.: Pricing with a smile, Risk, 7, 18-20 (1994)
    • (1994) Risk , vol.7 , pp. 18-20
    • Dupire, B.1
  • 8
    • 0010247346 scopus 로고    scopus 로고
    • The maximum maximum of a martingale
    • Hobson, D.G.: The maximum maximum of a martingale, Séminaire de Probabilités, XXXII, 250-263 (1998)
    • (1998) Séminaire de Probabilités , vol.32 , pp. 250-263
    • Hobson, D.G.1
  • 9
    • 0000031715 scopus 로고    scopus 로고
    • Robust hedging of the lookback option
    • Hobson D.G.: Robust hedging of the lookback option, Finance and Stochastics, 2, 329-347 (1998)
    • (1998) Finance and Stochastics , vol.2 , pp. 329-347
    • Hobson, D.G.1
  • 10
    • 0000097376 scopus 로고
    • Martingales with given maxima and terminal distributions
    • Kertz, R.P., Rösler, U.: Martingales with given maxima and terminal distributions, Israel J. Math, 69, 173-192 (1990)
    • (1990) Israel J. Math , vol.69 , pp. 173-192
    • Kertz, R.P.1    Rösler, U.2
  • 12
    • 0010265665 scopus 로고
    • Williams' characterisation of the brownian excursion law: Proof and applications
    • Rogers L.C.G.: Williams' characterisation of the Brownian excursion law: proof and applications, Séminaire de Probabilités, XV, 227-250 (1981)
    • (1981) Séminaire de Probabilités , vol.15 , pp. 227-250
    • Rogers, L.C.G.1
  • 13
    • 21144483218 scopus 로고
    • The joint law of the maximum and terminal value of a martingale
    • Rogers L.C.G.: The joint law of the maximum and terminal value of a martingale, Prob. Th. Rel. Fields, 95, 451-466 (1993)
    • (1993) Prob. Th. Rel. Fields , vol.95 , pp. 451-466
    • Rogers, L.C.G.1
  • 14
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    • A guided tour through excursions
    • Rogers L.C.G.: A guided tour through excursions, Bull. London Math. Soc., 21, 305-341 (1989)
    • (1989) Bull. London Math. Soc. , vol.21 , pp. 305-341
    • Rogers, L.C.G.1
  • 16
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    • The existence of probability measures with given marginals
    • Strassen, V.: The existence of probability measures with given marginals, Ann. Math. Statistics, 36, 423-439 (1965)
    • (1965) Ann. Math. Statistics , vol.36 , pp. 423-439
    • Strassen, V.1

* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.