25 citations · 54 across the 15 of their papers we have counts for
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Some Results on Skorokhod Embedding and Robust Hedging with Local Time
Julien Claisse, Gaoyue Guo, Pierre Henry-Labordere
In this paper, we provide some results on Skorokhod embedding with local time and its applications to the robust hedging problem in finance. First we investigate the robust hedging…
Tightness and duality of martingale transport on the Skorokhod space
Gaoyue Guo, Xiaolu Tan, Nizar Touzi
The martingale optimal transport aims to optimally transfer a probability measure to another along the class of martingales. This problem is mainly motivated by the robust superhed…
Optimal Skorokhod embedding under finitely-many marginal constraints
Gaoyue Guo, Xiaolu Tan, Nizar Touzi
The Skorokhod embedding problem aims to represent a given probability measure on the real line as the distribution of Brownian motion stopped at a chosen stopping time. In this pap…
On the monotonicity principle of optimal Skorokhod embedding problem
Gaoyue Guo, Xiaolu Tan, Nizar Touzi
In this paper, we provide an alternative proof of the monotonicity principle for the optimal Skorokhod embedding problem established by Beiglböck, Cox and Huesmann. This principle…