An Extension with Illustrations of the Azéma–Yor Algorithm for Solving Skorokhod Embedding Problem

Yuri Imamura and Ju-Yi Yen

Chapter 23 in Peter Carr Gedenkschrift:Research Advances in Mathematical Finance, 2023, pp 821-841 from World Scientific Publishing Co. Pte. Ltd.

Abstract: We recall and illustrate four methods: Azéma–Yor algorithm, Vallois algorithm, excursion method and Azéma exponential result, each one allowing to solve the Skorokhod embedding problem. In doing so, we consider more general stopping times than in the original Azéma–Yor algorithm.

Keywords: Mathematical Finance; Quantitative Finance; Option Pricing; Derivatives; No Arbitrage; Asset Price Bubbles; Asset Pricing; Equilibrium; Volatility; Diffusion Processes; Jump Processes; Stochastic Integration; Trading Strategies; Portfolio Theory; Optimization; Securities; Bonds; Commodities; Futures (search for similar items in EconPapers)
JEL-codes: C02 C6 (search for similar items in EconPapers)
Date: 2023
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