Robust pricing and hedging of double no-touch options

Robust pricing and hedging of double no-touch options

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Double no-touch options, contracts which pay out a fixed amount provided an underlying asset remains within a given interval, are commonly traded, particularly in FX markets. In this work, we establish model-free bounds on the price of these options based on the prices of more liquidly traded option...

書誌詳細
主要な著者:	Cox, A, Obloj, J
フォーマット:	Journal article
言語:	English
出版事項:	2009

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