Robust pricing and hedging of double no-touch options

From MaRDI portal
Publication:483935

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




Related Items

Fine properties of the optimal Skorokhod embedding problemCanonical supermartingale couplingsSome results on Skorokhod embedding and robust hedging with local timeAn explicit martingale version of the one-dimensional Brenier theoremRobust pricing and hedging under trading restrictions and the emergence of local martingale modelsDuality in a Problem of Static Partial Hedging under Convex ConstraintsMartingale Inequalities, Optimal Martingale Transport, and Robust SuperhedgingRobust pricing-hedging dualities in continuous timeModel-independent bounds for option prices -- a mass transport approachARBITRAGE BOUNDS FOR PRICES OF WEIGHTED VARIANCE SWAPSA trajectorial interpretation of Doob's martingale inequalitiesRobust deep hedgingModel uncertainty, recalibration, and the emergence of delta-vega hedgingPathwise superreplication via Vovk's outer measureConvergence of utility indifference prices to the superreplication price in a multiple‐priors frameworkPerturbation analysis of sub/super hedging problemsDistributionally robust portfolio maximization and marginal utility pricing in one period financial marketsSuper‐replication with transaction costs under model uncertainty for continuous processesIrreducible convex paving for decomposition of multidimensional martingale transport plansPointwise Arbitrage Pricing Theory in Discrete TimeSupermartingale Brenier's theorem with full-marginals constraintRobust Framework for Quantifying the Value of Information in Pricing and HedgingRoot's barrier: construction, optimality and applications to variance optionsUncertainty Quantification of Derivative InstrumentsA risk-neutral equilibrium leading to uncertain volatility pricingROBUST TRADING OF IMPLIED SKEWA stochastic control approach to no-arbitrage bounds given marginals, with an application to lookback optionsMartingale optimal transport and robust hedging in continuous timeRobust hedging with proportional transaction costsPERFORMANCE OF ROBUST HEDGES FOR DIGITAL DOUBLE BARRIER OPTIONSMartingale optimal transport in the Skorokhod spaceRobust bounds for the American putHedging with small uncertainty aversionModel uncertainty and the pricing of American optionsTightness and duality of martingale transport on the Skorokhod spaceContinuous-time trading and the emergence of probabilityUTILITY THEORY FRONT TO BACK — INFERRING UTILITY FROM AGENTS' CHOICESThe Joint Law of the Extrema, Final Value and Signature of a Stopped Random WalkA MODEL-FREE VERSION OF THE FUNDAMENTAL THEOREM OF ASSET PRICING AND THE SUPER-REPLICATION THEOREMUTILITY MAXIMIZATION UNDER MODEL UNCERTAINTY IN DISCRETE TIMEMODEL-INDEPENDENT NO-ARBITRAGE CONDITIONS ON AMERICAN PUT OPTIONSAn explicit martingale version of the one-dimensional Brenier's theorem with full marginals constraintProcesses That Can Be Embedded in a Geometric Brownian MotionThe Robust Superreplication Problem: A Dynamic ApproachComputational methods for martingale optimal transport problemsA unified framework for robust modelling of financial markets in discrete timeMultiperiod martingale transportOptimal Skorokhod Embedding Under Finitely Many Marginal ConstraintsOn the Monotonicity Principle of Optimal Skorokhod Embedding ProblemRobust Pricing and Hedging of Options on Multiple Assets and Its NumericsA forward equation for barrier options under the Brunick & Shreve Markovian projectionNO-ARBITRAGE BOUNDS ON TWO ONE-TOUCH OPTIONSArbitrage and duality in nondominated discrete-time modelsPathwise versions of the Burkholder-Davis-Gundy inequalityOn joint distributions of the maximum, minimum and terminal value of a continuous uniformly integrable martingaleThe maximum maximum of a martingale with given \(n\) marginalsUniversal arbitrage aggregator in discrete-time markets under uncertaintyModel-independent superhedging under portfolio constraints



Cites Work


This page was built for publication: Robust pricing and hedging of double no-touch options