Robust Hedging of Double Touch Barrier Options
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Publication:3074989
DOI10.1137/090777487zbMath1228.91067arXiv0808.4012OpenAlexW2101285166MaRDI QIDQ3074989
Jan Obłój, Alexander Matthew Gordon Cox
Publication date: 10 February 2011
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/0808.4012
robust hedgingSkorokhod embeddingsuperhedgingno-arbitrage pricingdouble barrier optionrisk neutral distributionsubhedging
Stochastic models in economics (91B70) Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44) Derivative securities (option pricing, hedging, etc.) (91G20)
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