Robust hedging of the lookback option
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Publication:1265766
DOI10.1007/s007800050044zbMath0907.90023OpenAlexW2087001647MaRDI QIDQ1265766
Publication date: 8 February 1999
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s007800050044
martingalehedging strategiessuper-replicationlookback optioncall optionsbarycentreprices of exotic derivatives
Martingales with continuous parameter (60G44) Derivative securities (option pricing, hedging, etc.) (91G20)
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