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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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    Abstract

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    File URL: http://hdl.handle.net/10.1007/s00780-011-0154-z
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    Bibliographic Info

    Article provided by Springer in its journal Finance and Stochastics.

    Volume (Year): 15 (2011)
    Issue (Month): 3 (September)
    Pages: 573-605

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    Handle: RePEc:spr:finsto:v:15:y:2011:i:3:p:573-605

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    Web page: http://www.springerlink.com/content/101164/

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    Related research

    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;

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    References

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    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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    1. Hans Buehler, 2006. "Expensive martingales," Quantitative Finance, Taylor & Francis Journals, vol. 6(3), pages 207-218.
    2. 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.
    3. Haydyn Brown & David Hobson & L. C. G. Rogers, 2001. "Robust Hedging of Barrier Options," Mathematical Finance, Wiley Blackwell, vol. 11(3), pages 285-314.
    4. David G. Hobson, 1998. "Robust hedging of the lookback option," Finance and Stochastics, Springer, vol. 2(4), pages 329-347.
    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. Gianluca Cassese, 2008. "Asset Pricing With No Exogenous Probability Measure," Mathematical Finance, Wiley Blackwell, vol. 18(1), pages 23-54.
    7. Peter Carr & Liuren Wu, 2004. "Stochastic Skew in Currency Options," Finance 0409014, EconWPA.
    8. Rama Cont, 2006. "Model uncertainty and its impact on the pricing of derivative instruments," Post-Print halshs-00002695, HAL.
    9. Aleksandar Mijatović, 2010. "Local time and the pricing of time-dependent barrier options," Finance and Stochastics, Springer, vol. 14(1), pages 13-48, January.
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    Citations

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    Cited by:
    1. Pierre Henry-Labordere & Jan Obloj & Peter Spoida & Nizar Touzi, 2012. "Maximum Maximum of Martingales given Marginals," Papers 1203.6877, arXiv.org, revised Apr 2013.
    2. Mathias Beiglböck & Pierre Henry-Labordère & Friedrich Penkner, 2013. "Model-independent bounds for option prices—a mass transport approach," Finance and Stochastics, Springer, vol. 17(3), pages 477-501, July.
    3. Yan Dolinsky & H. Mete Soner, 2013. "Robust Hedging with Proportional Transaction Costs," Papers 1302.0590, arXiv.org, revised Aug 2013.
    4. Alexander M. G. Cox & Zhaoxu Hou & Jan Obloj, 2014. "Robust pricing and hedging under trading restrictions and the emergence of local martingale models," Papers 1406.0551, arXiv.org.
    5. Yan Dolinsky & H. Soner, 2014. "Robust hedging with proportional transaction costs," Finance and Stochastics, Springer, vol. 18(2), pages 327-347, April.
    6. Bruno Bouchard & Marcel Nutz, 2013. "Arbitrage and Duality in Nondominated Discrete-Time Models," Papers 1305.6008, arXiv.org, revised Feb 2014.
    7. Vladimir Vovk, 2012. "Continuous-time trading and the emergence of probability," Finance and Stochastics, Springer, vol. 16(4), pages 561-609, October.
    8. Y. Dolinsky & H. M. Soner, 2014. "Martingale optimal transport in the Skorokhod space," Papers 1404.1516, arXiv.org.
    9. Alexander M. G. Cox & Christoph Hoeggerl, 2013. "Model-independent no-arbitrage conditions on American put options," Papers 1301.5467, arXiv.org.
    10. Pierre Henry-Labordere & Nizar Touzi, 2013. "An Explicit Martingale Version of Brenier's Theorem," Papers 1302.4854, arXiv.org, revised Apr 2013.
    11. A. Galichon & P. Henry-Labord\`ere & N. Touzi, 2014. "A stochastic control approach to no-arbitrage bounds given marginals, with an application to lookback options," Papers 1401.3921, arXiv.org.
    12. Marcel Nutz, 2013. "Utility Maximization under Model Uncertainty in Discrete Time," Papers 1307.3597, arXiv.org.
    13. Alexander M. G. Cox & Jiajie Wang, 2013. "Optimal robust bounds for variance options," Papers 1308.4363, arXiv.org.
    14. Timothy C. Johnson, 2012. "Ethics and Finance: the role of mathematics," Papers 1210.5390, arXiv.org.
    15. Pierre Henry-Labordere & Jan Obloj & Peter Spoida & Nizar Touzi, 2013. "Maximum Maximum of Martingales given Marginals," Working Papers hal-00684005, HAL.
    16. Matteo Burzoni & Marco Frittelli & Marco Maggis, 2014. "Robust Arbitrage under Uncertainty in Discrete Time," Papers 1407.0948, arXiv.org.
    17. Pierre Henry-Labordere & Nizar Touzi, 2013. "An Explicit Martingale Version of Brenier's Theorem," Working Papers hal-00790001, HAL.
    18. Arash Fahim & Yu-Jui Huang, 2014. "Model-independent Superhedging under Portfolio Constraints," Papers 1402.2599, arXiv.org.
    19. Beatrice Acciaio & Mathias Beiglb\"ock & Friedrich Penkner & Walter Schachermayer, 2013. "A model-free version of the fundamental theorem of asset pricing and the super-replication theorem," Papers 1301.5568, arXiv.org, revised Mar 2013.

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