ROBUST BOUNDS FOR FORWARD START OPTIONS
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Publication:4906538
DOI10.1111/j.1467-9965.2010.00473.xzbMath1278.91162OpenAlexW2129216683MaRDI QIDQ4906538
Anthony Neuberger, David G. Hobson
Publication date: 28 February 2013
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://openaccess.city.ac.uk/id/eprint/15211/1/Math%20Fin%20Forward%20Start%20with%20Hobson.pdf
Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)
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Cites Work
- The Skorokhod embedding problem and its offspring
- Optimal stopping and best constants for Doob-like inequalities. I: The case \(p=1\)
- Some inequalities with local times in zero of a Brownian motion
- Robust hedging of the lookback option
- The minimum maximum of a continuous martingale with given initial and terminal laws
- Robust Hedging of Barrier Options
- Robust Hedging of Double Touch Barrier Options
- THE RANGE OF TRADED OPTION PRICES
- The Existence of Certain Stopping Times on Brownian Motion
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