Robust pricing and hedging under trading restrictions and the emergence of local martingale models
We pursue the robust approach to pricing and hedging in which no probability measure is fixed, but call or put options with different maturities and strikes can be traded initially at their market prices. We allow the inclusion of robust modelling assumptions by specifying a set of feasible paths on...
| Main Authors: | , , |
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| Format: | Journal article |
| Published: |
Springer Berlin Heidelberg
2016
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