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)
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