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...
| Autors principals: | , |
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| Format: | Journal article |
| Idioma: | English |
| Publicat: |
2009
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