根的障碍：构造，最优性和应用方差选项
Root's barrier: Construction, optimality and applications to variance options
摘要：
最近的工作Dupire和卡尔和李强调了理解Skorokhod嵌入最初提出的根的模型无关的套期保值的方差选项的重要性。根的工作表明，存在一个障碍，从其中可以定义一个停时，解决了Skorokhod嵌入问题。这种结构具有显着的性质，证明了罗斯特，它最小化的方差之间的所有解决方案的停时。在这项工作中，我们证明了根的障碍的一个特征的变分不等式的解决方案，我们给了一个替代的证明的最优性财产，这有一个重要的后果，在金融背景下的subhedging策略的建设。
英文摘要：
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 variance options. Root's work shows that there exists a barrier from which one may define a stopping time which solves the Skorokhod embedding problem. This construction has the remarkable property, proved by Rost, that it minimizes the variance of the stopping time among all solutions. In this work, we prove a characterization of Root's barrier in terms of the solution to a variational inequality, and we give an alternative proof of the optimality property which has an important consequence for the construction of subhedging strategies in the financial context.
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