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Robust pricing and hedging of double no-touch options

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  • Alexander Cox
  • Jan Obłój

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  • Alexander Cox & Jan Obłój, 2011. "Robust pricing and hedging of double no-touch options," Finance and Stochastics, Springer, vol. 15(3), pages 573-605, September.
    • Handle: RePEc:spr:finsto:v:15:y:2011:i:3:p:573-605
    DOI: 10.1007/s00780-011-0154-z
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    References listed on IDEAS

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    1. Hans Buehler, 2006. "Expensive martingales," Quantitative Finance, Taylor & Francis Journals, vol. 6(3), pages 207-218.
    2. Gianluca Cassese, 2008. "Asset Pricing With No Exogenous Probability Measure," Mathematical Finance, Wiley Blackwell, vol. 18(1), pages 23-54, January.
    3. Sara BIAGINI & Rama CONT, 2007. "Model-free Representation of Pricing Rules as Conditional Expectations," World Scientific Book Chapters, in: Jiro Akahori & Shigeyoshi Ogawa & Shinzo Watanabe (ed.), Stochastic Processes And Applications To Mathematical Finance, chapter 3, pages 53-66, World Scientific Publishing Co. Pte. Ltd..
    4. Carr, Peter & Madan, Dilip B., 2005. "A note on sufficient conditions for no arbitrage," Finance Research Letters, Elsevier, vol. 2(3), pages 125-130, September.
    5. A. M. G. Cox & David Hobson & Jan Ob{l}'oj, 2007. "Pathwise inequalities for local time: Applications to Skorokhod embeddings and optimal stopping," Papers math/0702173, arXiv.org, revised Nov 2008.
    6. Peter Carr & John Crosby, 2010. "A class of Levy process models with almost exact calibration to both barrier and vanilla FX options," Quantitative Finance, Taylor & Francis Journals, vol. 10(10), pages 1115-1136.
    7. David G. Hobson, 1998. "Robust hedging of the lookback option," Finance and Stochastics, Springer, vol. 2(4), pages 329-347.
    8. Carr, Peter & Wu, Liuren, 2007. "Stochastic skew in currency options," Journal of Financial Economics, Elsevier, vol. 86(1), pages 213-247, October.
    9. Breeden, Douglas T & Litzenberger, Robert H, 1978. "Prices of State-contingent Claims Implicit in Option Prices," The Journal of Business, University of Chicago Press, vol. 51(4), pages 621-651, October.
    10. Rama Cont, 2006. "Model Uncertainty And Its Impact On The Pricing Of Derivative Instruments," Mathematical Finance, Wiley Blackwell, vol. 16(3), pages 519-547, July.
    11. Cousot, Laurent, 2007. "Conditions on option prices for absence of arbitrage and exact calibration," Journal of Banking & Finance, Elsevier, vol. 31(11), pages 3377-3397, November.
    12. Haydyn Brown & David Hobson & L. C. G. Rogers, 2001. "Robust Hedging of Barrier Options," Mathematical Finance, Wiley Blackwell, vol. 11(3), pages 285-314, July.
    13. Aleksandar Mijatović, 2010. "Local time and the pricing of time-dependent barrier options," Finance and Stochastics, Springer, vol. 14(1), pages 13-48, January.
    14. Rama Cont, 2006. "Model uncertainty and its impact on the pricing of derivative instruments," Post-Print halshs-00002695, HAL.
    15. Mark H. A. Davis & David G. Hobson, 2007. "The Range Of Traded Option Prices," Mathematical Finance, Wiley Blackwell, vol. 17(1), pages 1-14, January.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Double no-touch option; Robust pricing and hedging; Skorokhod embedding problem; Weak arbitrage; Weak free lunch with vanishing risk; Model-independent arbitrage; 91B28; 60G40; 60G44; C60; G13;
    All these keywords.

    JEL classification:

    • C60 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - General
    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing

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