The Joint Law Of The Extrema, Signature, And Final Value Of A Stopped Random Walk.pdf

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Preview of The joint law of the extrema, signature, and final value of a stopped random walk
🔗 Source: skokholm.co.uk
📊 Size: 164 KB
📄 Pages: 17 pages
⬇️ Downloads: 48

Summary

The joint law of the extrema, final value, and signature of a stopped random walk is characterized for a symmetric simple random walk on a grid, stopped at an almost-surely finite stopping time. The characterization leads to robust hedging strategies for derivatives whose value depends on the maximum, minimum, and final values of the underlying asset. The main result is presented, along with proofs of necessity and sufficiency, and an application to robust hedging schemes and extremal prices for derivatives is shown.

Description

The joint law of the extrema, final value, and signature of a stopped random walk is characterized for a symmetric simple random walk on a grid, stopped at an...

Technical Information

  • File Format: PDF
  • File Size: 164 KB
  • Pages: 17
  • Language: EN
  • Total Downloads: 48
  • Last Updated: 2 months ago

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