Robust hedging of double touch barrier options (Q3074989)
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scientific article; zbMATH DE number 5849818
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Robust hedging of double touch barrier options |
scientific article; zbMATH DE number 5849818 |
Statements
Robust Hedging of Double Touch Barrier Options (English)
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10 February 2011
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double barrier option
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robust hedging
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no-arbitrage pricing
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Skorokhod embedding
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risk neutral distribution
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superhedging
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subhedging
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0.866816520690918
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0.8396738767623901
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0.8371877670288086
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0.8081039786338806
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0.8024488091468811
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