Robust pricing and hedging of double no-touch options (Q483935): Difference between revisions

From MaRDI portal
Set OpenAlex properties.
ReferenceBot (talk | contribs)
Changed an Item
 
(One intermediate revision by one other user not shown)
Property / arXiv ID
 
Property / arXiv ID: 0901.0674 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3504635 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Robust Hedging of Barrier Options / rank
 
Normal rank
Property / cites work
 
Property / cites work: Expensive martingales / rank
 
Normal rank
Property / cites work
 
Property / cites work: A class of Lévy process models with almost exact calibration to both barrier and vanilla FX options / rank
 
Normal rank
Property / cites work
 
Property / cites work: ASSET PRICING WITH NO EXOGENOUS PROBABILITY MEASURE / rank
 
Normal rank
Property / cites work
 
Property / cites work: General Arbitrage Pricing Model: III – Possibility Approach / rank
 
Normal rank
Property / cites work
 
Property / cites work: MODEL UNCERTAINTY AND ITS IMPACT ON THE PRICING OF DERIVATIVE INSTRUMENTS / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3526638 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Skorokhod embeddings, minimality and non-centred target distributions / rank
 
Normal rank
Property / cites work
 
Property / cites work: Robust Hedging of Double Touch Barrier Options / rank
 
Normal rank
Property / cites work
 
Property / cites work: Pathwise inequalities for local time: Applications to Skorokhod embeddings and optimal stopping / rank
 
Normal rank
Property / cites work
 
Property / cites work: THE RANGE OF TRADED OPTION PRICES / rank
 
Normal rank
Property / cites work
 
Property / cites work: A general version of the fundamental theorem of asset pricing / rank
 
Normal rank
Property / cites work
 
Property / cites work: Stochastic finance. An introduction in discrete time / rank
 
Normal rank
Property / cites work
 
Property / cites work: Robust hedging of the lookback option / rank
 
Normal rank
Property / cites work
 
Property / cites work: Doob's inequalities revisited: A maximal \(H^ 1\)-embedding / rank
 
Normal rank
Property / cites work
 
Property / cites work: Markov-Komposition und eine Anwendung auf Martingale. (Markov compositions and an application to martingales) / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q2725581 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Robust static super-replication of barrier options / rank
 
Normal rank
Property / cites work
 
Property / cites work: Local time and the pricing of path-dependent options / rank
 
Normal rank
Property / cites work
 
Property / cites work: The Skorokhod embedding problem and its offspring / rank
 
Normal rank
Property / cites work
 
Property / cites work: A complete characterization of local martingales which are functions of Brownian motion and its maximum / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4596270 / rank
 
Normal rank

Latest revision as of 10:52, 9 July 2024

scientific article
Language Label Description Also known as
English
Robust pricing and hedging of double no-touch options
scientific article

    Statements

    Robust pricing and hedging of double no-touch options (English)
    0 references
    0 references
    17 December 2014
    0 references
    double no-touch option
    0 references
    robust pricing and hedging
    0 references
    Skorokhod embedding problem
    0 references
    weak arbitrage
    0 references
    weak free lunch with vanishing risk
    0 references
    model-independent arbitrage
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references

    Identifiers

    0 references
    0 references
    0 references
    0 references
    0 references
    0 references