Root’s barrier: Construction, optimality and applications to variance options
Work
Year: 2013
Type: article
Abstract: Recent work of Dupire and Carr and Lee has highlighted the importance of understanding the Skorokhod embedding originally proposed by Root for the model-independent hedging of variance options. Root's... more
Authors Alexander M. G. Cox, Jiajie Wang
Institution University of Bath
Cites: 42
Cited by: 108
Related to: 10
FWCI: 17.12
Citation percentile (by year/subfield): 94.78
Subfield: Finance
Domain: Social Sciences
Sustainable Development Goal Reduced inequalities
Open Access status: bronze