Robust hedging of double touch barrier options

We consider model-free pricing of digital options, which pay out if the underlying asset has crossed both upper and lower barriers. We make only weak assumptions about the underlying process (typically continuity), but assume that the initial prices of call options with the same maturity and all str...

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Bibliografiska uppgifter
Huvudupphovsmän: Cox, A, Obłój, J
Materialtyp: Journal article
Språk:English
Publicerad: 2008