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Robust pricing and hedging of double no-touch options

  • Alexander Cox

    ()

  • Jan Obłój

    ()

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    No abstract is available for this item.

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    File URL: http://hdl.handle.net/10.1007/s00780-011-0154-z
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    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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    1. David G. Hobson, 1998. "Robust hedging of the lookback option," Finance and Stochastics, Springer, vol. 2(4), pages 329-347.
    2. Hans Buehler, 2006. "Expensive martingales," Quantitative Finance, Taylor & Francis Journals, vol. 6(3), pages 207-218.
    3. Gianluca Cassese, 2008. "Asset Pricing With No Exogenous Probability Measure," Mathematical Finance, Wiley Blackwell, vol. 18(1), pages 23-54.
    4. Aleksandar Mijatović, 2010. "Local time and the pricing of time-dependent barrier options," Finance and Stochastics, Springer, vol. 14(1), pages 13-48, January.
    5. Carr, Peter & Wu, Liuren, 2007. "Stochastic skew in currency options," Journal of Financial Economics, Elsevier, vol. 86(1), pages 213-247, October.
    6. Haydyn Brown & David Hobson & L. C. G. Rogers, 2001. "Robust Hedging of Barrier Options," Mathematical Finance, Wiley Blackwell, vol. 11(3), pages 285-314.
    7. Rama Cont, 2006. "Model uncertainty and its impact on the pricing of derivative instruments," Post-Print halshs-00002695, HAL.
    8. 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.
    9. 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.
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