48 citations · 49 across the 3 of their papers we have counts for
4 papers
Characterization of Market Models in the Presence of Traded Vanilla and Barrier Options
Peter Spoida
We characterize the set of market models when there are a finite number of traded Vanilla and Barrier options with maturity written on the asset . From a probabilistic persp…
Martingale Inequalities for the Maximum via Pathwise Arguments
Jan Obloj, Peter Spoida, Nizar Touzi
We study a class of martingale inequalities involving the running maximum process. They are derived from pathwise inequalities introduced by Henry_Labordere et al. (2013) and provi…
An Iterated Azéma-Yor Type Embedding for Finitely Many Marginals
Jan Obłój, Peter Spoida
We solve the -marginal Skorokhod embedding problem for a continuous local martingale and a sequence of probability measures which are in convex order and satisfy a…
The maximum maximum of a martingale with given marginals
Pierre Henry-Labordère, Jan Obłój, Peter Spoida +1
We obtain bounds on the distribution of the maximum of a martingale with fixed marginals at finitely many intermediate times. The bounds are sharp and attained by a solution to …