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

@@ Property / author @@
-Alexander Matthew Gordon Cox
@@ Property / author: Alexander Matthew Gordon Cox / rank @@
-Normal rank
@@ Property / author @@
+Alexander Matthew Gordon Cox
@@ Property / author: Alexander Matthew Gordon Cox / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+G20
@@ Property / Mathematics Subject Classification ID: 91G20 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+G40
@@ Property / Mathematics Subject Classification ID: 60G40 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+G44
@@ Property / Mathematics Subject Classification ID: 60G44 / rank @@
+Normal rank
@@ Property / zbMATH DE Number @@
+6381429
@@ Property / zbMATH DE Number: 6381429 / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+double no-touch option
@@ Property / zbMATH Keywords: double no-touch option / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+robust pricing and hedging
@@ Property / zbMATH Keywords: robust pricing and hedging / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+Skorokhod embedding problem
@@ Property / zbMATH Keywords: Skorokhod embedding problem / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+weak arbitrage
@@ Property / zbMATH Keywords: weak arbitrage / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+weak free lunch with vanishing risk
@@ Property / zbMATH Keywords: weak free lunch with vanishing risk / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+model-independent arbitrage
@@ Property / zbMATH Keywords: model-independent arbitrage / rank @@
+Normal rank
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+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
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@@ Property / OpenAlex ID @@
+W2106198462
@@ Property / OpenAlex ID: W2106198462 / rank @@
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@@ Property / arXiv ID @@
+.0674
@@ Property / arXiv ID: 0901.0674 / rank @@
+Normal rank
@@ Property / cites work @@
+Q3504635
@@ Property / cites work: Q3504635 / rank @@
+Normal rank
@@ Property / cites work @@
+Robust Hedging of Barrier Options
@@ Property / cites work: Robust Hedging of Barrier Options / rank @@
+Normal rank
@@ Property / cites work @@
+Expensive martingales
@@ Property / cites work: Expensive martingales / rank @@
+Normal rank
@@ Property / cites work @@
+A class of Lévy process models with almost exact calibration to both barrier and vanilla FX options
+Normal rank
@@ Property / cites work @@
+ASSET PRICING WITH NO EXOGENOUS PROBABILITY MEASURE
+Normal rank
@@ Property / cites work @@
+General Arbitrage Pricing Model: III – Possibility Approach
+Normal rank
@@ Property / cites work @@
+MODEL UNCERTAINTY AND ITS IMPACT ON THE PRICING OF DERIVATIVE INSTRUMENTS
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+Q3526638
@@ Property / cites work: Q3526638 / rank @@
+Normal rank
@@ Property / cites work @@
+Skorokhod embeddings, minimality and non-centred target distributions
+Normal rank
@@ Property / cites work @@
+Robust Hedging of Double Touch Barrier Options
@@ Property / cites work: Robust Hedging of Double Touch Barrier Options / rank @@
+Normal rank
@@ Property / cites work @@
+Pathwise inequalities for local time: Applications to Skorokhod embeddings and optimal stopping
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@@ Property / cites work @@
+THE RANGE OF TRADED OPTION PRICES
@@ Property / cites work: THE RANGE OF TRADED OPTION PRICES / rank @@
+Normal rank
@@ Property / cites work @@
+A general version of the fundamental theorem of asset pricing
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+Stochastic finance. An introduction in discrete time
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+Robust hedging of the lookback option
@@ Property / cites work: Robust hedging of the lookback option / rank @@
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+Doob's inequalities revisited: A maximal \(H^ 1\)-embedding
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+Markov-Komposition und eine Anwendung auf Martingale. (Markov compositions and an application to martingales)
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+Q2725581
@@ Property / cites work: Q2725581 / rank @@
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+Robust static super-replication of barrier options
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+Local time and the pricing of path-dependent options
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+The Skorokhod embedding problem and its offspring
@@ Property / cites work: The Skorokhod embedding problem and its offspring / rank @@
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@@ Property / cites work @@
+A complete characterization of local martingales which are functions of Brownian motion and its maximum
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@@ Property / cites work @@
+Q4596270
@@ Property / cites work: Q4596270 / rank @@
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:483935