Before revision: Recent work of Dupire (2005) and Carr Lee (2010) has highlighted the importance of understanding the Skorokhod embedding originally proposed by Root (1969) for the model-independent hedging of variance options.
After revision: Recent work of Dupire (2005) and Carr and Carr and Lee has highlighted the importance of understanding the Skorokhod embedding originally proposed by Root (1969) for the model-independent hedging of variance options.