Generalization of Doob's Inequality and A Tighter Estimate on Look-back Option Price

Published 6 Jul 2018 in q-fin.MF | (1807.02243v2)

Abstract: In this short note, we will strengthen the classic Doob's $L^p$ inequality for sub-martingale processes. Because this inequality is of fundamental importance to the theory of stochastic process, we believe this generalization will find many interesting applications.

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Jian Sun

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