-
作者：Cox, Alexander M. G.; Wang, Jiajie
作者单位：University of Bath
摘要：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 work shows that there exists a barrier from which one may define a stopping time which solves the Skorokhod embedding problem. This construction has the remarkable property, proved by Rost, that it minimizes the variance of the stopping time among all solutions. In this work, we prove a character...
-
作者：Carmona, Rene; Delarue, Francois; Espinosa, Gilles-Edouard; Touzi, Nizar
作者单位：Princeton University; Universite Cote d'Azur; Institut Polytechnique de Paris; ENSTA Paris; Centre National de la Recherche Scientifique (CNRS); CNRS - National Institute for Mathematical Sciences (INSMI); Ecole Polytechnique
摘要：We introduce two simple models of forward-backward stochastic differential equations with a singular terminal condition and we explain how and why they appear naturally as models for the valuation of CO2 emission allowances. Single phase cap-and-trade schemes lead readily to terminal conditions given by indicator functions of the forward component, and using fine partial differential equations estimates, we show that the existence theory of these equations, as well as the properties of the can...
-
作者：Enriquez, Nathanael; Sabot, Christophe; Tournier, Laurent; Zindy, Olivier
作者单位：Universite Paris Nanterre; Universite Paris Cite; Sorbonne Universite; Centre National de la Recherche Scientifique (CNRS); CNRS - National Institute for Mathematical Sciences (INSMI); Centre National de la Recherche Scientifique (CNRS); CNRS - National Institute for Mathematical Sciences (INSMI); Ecole Centrale de Lyon; Institut National des Sciences Appliquees de Lyon - INSA Lyon; Universite Claude Bernard Lyon 1; Universite Jean Monnet; Centre National de la Recherche Scientifique (CNRS); CNRS - National Institute for Mathematical Sciences (INSMI); Universite Paris 13
摘要：We consider transient nearest-neighbor random walks in random environment on Z. For a set of environments whose probability is converging to 1 as time goes to infinity, we describe the fluctuations of the hitting time of a level n, around its mean, in terms of an explicit function of the environment. Moreover, their limiting law is described using a Poisson point process whose intensity is computed. This result can be considered as the quenched analog of the classical result of Kesten, Kozlov ...
