No-arbitrage bounds for the forward smile given marginals
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- David G. Hobson, 1998. "Robust hedging of the lookback option," Finance and Stochastics, Springer, vol. 2(4), pages 329-347.
- David Hobson & Martin Klimmek, 2015. "Robust price bounds for the forward starting straddle," Finance and Stochastics, Springer, vol. 19(1), pages 189-214, January.
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- Cox, Alexander M.G. & Kinsley, Sam M., 2019. "Discretisation and duality of optimal Skorokhod embedding problems," Stochastic Processes and their Applications, Elsevier, vol. 129(7), pages 2376-2405.
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