91 citations · 99 across the 3 of their papers we have counts for
3 papers
math.PR2016★ 1 cited
Minimal Root's embeddings for general starting and target distributions
Jiajie Wang
Most results regarding Skorokhod embedding problems (SEP) so far rely on the assumption that the corresponding stopped process is uniformly integrable, which is equivalent to the c…
q-fin.PR2013★ 7 cited
Optimal robust bounds for variance options
Alexander M. G. Cox, Jiajie Wang
Robust, or model-independent properties of the variance swap are well-known, and date back to Dupire and Neuberger, who showed that, given the price of co-terminal call options, th…
q-fin.PR2011★ 91 cited
Root's barrier: Construction, optimality and applications to variance options
Alexander M. G. Cox, Jiajie Wang
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 vari…