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Robust hedging of double touch barrier options
Alexander M G Cox
, Jan Obloj
Department of Mathematical Sciences
Probability Laboratory at Bath
Research output
:
Contribution to journal
›
Article
›
peer-review
14
Citations (SciVal)
189
Downloads (Pure)
Overview
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Dive into the research topics of 'Robust hedging of double touch barrier options'. Together they form a unique fingerprint.
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Business & Economics
Double Barrier Options
100%
Arbitrage
97%
Hedging
54%
Digital Options
48%
Superhedging
48%
Transaction Costs
43%
Vega
43%
Market Frictions
39%
Model Misspecification
38%
Investors
35%
Call Option
33%
Trading Strategies
30%
Upper Bound
30%
Lower Bounds
30%
Continuity
29%
Risk Aversion
27%
Maturity
25%
Pricing
19%
Assets
17%
Mathematics
Barrier Options
87%
Hedging
77%
Arbitrage
53%
Trading Strategies
31%
Skorokhod Problem
30%
Risk Aversion
29%
Vega
29%
Transaction Costs
28%
Embedding Problem
25%
Model Misspecification
25%
Pricing
22%
Friction
20%
Market
20%
Upper and Lower Bounds
16%
Strategy
14%
Standards
11%
Engineering & Materials Science
Costs
22%
Friction
20%