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Robust pricing and hedging of double no-touch options

Alexander Cox () and Jan Obłój ()

Finance and Stochastics, 2011, vol. 15, issue 3, 573-605

Keywords: Double no-touch option; Robust pricing and hedging; Skorokhod embedding problem; Weak arbitrage; Weak free lunch with vanishing risk; Model-independent arbitrage; 91B28; 60G40; 60G44; C60; G13 (search for similar items in EconPapers)
Date: 2011
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