Robust pricing and hedging of double no-touch options
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...
| Главные авторы: | , |
|---|---|
| Формат: | Journal article |
| Язык: | English |
| Опубликовано: |
2009
|
Search Result 1
