Robust pricing and hedging of double no-touch options

DOI10.1007/s00780-011-0154-zzbMath1303.91171arXiv0901.0674OpenAlexW2106198462MaRDI QIDQ483935

Jan Obłój, Alexander Matthew Gordon Cox

Publication date: 17 December 2014

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0901.0674

zbMATH Keywords

Skorokhod embedding problemrobust pricing and hedgingdouble no-touch optionmodel-independent arbitrageweak arbitrageweak free lunch with vanishing risk

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44) Derivative securities (option pricing, hedging, etc.) (91G20)

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