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math.PR2010★ 7 cited
Maximizing functionals of the maximum in the Skorokhod embedding problem and an application to variance swaps
David Hobson, Martin Klimmek
The Azéma-Yor solution (resp., the Perkins solution) of the Skorokhod embedding problem has the property that it maximizes (resp., minimizes) the law of the maximum of the stopped…
math.PR2010
Constructing Time-Homogeneous Generalised Diffusions Consistent with Optimal Stopping Values
David Hobson, Martin Klimmek
Consider a set of discounted optimal stopping problems for a one-parameter family of objective functions and a fixed diffusion process, started at a fixed point. A standard problem…