Robust hedging of the lookback option (Q1265766)

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Robust hedging of the lookback option
scientific article

    Statements

    title
    Robust hedging of the lookback option (English)
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    author
    David G. Hobson
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    publication date
    8 February 1999
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    zbMATH Keywords
    super-replication
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    martingale
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    barycentre
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    prices of exotic derivatives
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    lookback option
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    call options
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    hedging strategies
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    Identifiers

    DOI
    10.1007/s007800050044
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    zbMATH DE Number
    1202609
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    OpenAlex ID
    W2087001647
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