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Robust Hedging of Double Touch Barrier Options
16 references·13 citing·34 second hop
Robust Hedging of Double Touch Barrier Options (2011)Robust Hedging of Double Touch Barrier Op…The Skorokhod Embedding Problem and Model-Independent Bounds for Option Prices (2010)The Skorokhod Embedding Probl…Liquidity Risk and Arbitrage Pricing Theory (2010)Liquidity Risk and Arbitrage …THE RANGE OF TRADED OPTION PRICES (2006)THE RANGE OF TRADED OPTION PR…Theory of rational option pricing (2005)Theory of rational option pri…The Skorokhod embedding problem and its offspring (2004)The Skorokhod embedding probl…Static Hedging of Exotic Options (1998)Static Hedging of Exotic Opti…Robust hedging of the lookback option (1998)Robust hedging of the lookbac…Implied Volatility Functions: Empirical Tests (1998)Implied Volatility Functions:…An Asymptotic Analysis of an Optimal Hedging Model for Option Pricing with Transaction Costs (1997)An Asymptotic Analysis of an …HEDGING AND PORTFOLIO OPTIMIZATION UNDER TRANSACTION COSTS: A MARTINGALE APPROACH12 (1996)HEDGING AND PORTFOLIO OPTIMIZ…Static Options Replication (1995)Static Options ReplicationA Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)A Closed-Form Solution for Op…Hedging of contingent claims under incomplete information (1990)Hedging of contingent claims …Optimal replication of contingent claims under transaction costs (1989)Optimal replication of contin…Prices of State-Contingent Claims Implicit in Option Prices (1978)Prices of State-Contingent Cl…Theory of Rational Option Pricing (1973)Theory of Rational Option Pri…Pointwise Arbitrage Pricing Theory in Discrete Time (2019)Pointwise Arbitrage Pricing T…Computational methods for martingale optimal transport problems (2019)Computational methods for mar…Model-Free Portfolio Theory and Its Functional Master Formula (2018)Model-Free Portfolio Theory a…Pathwise superreplication via Vovk’s outer measure (2017)Pathwise superreplication via…Tightness and duality of martingale transport on the Skorokhod space (2016)Tightness and duality of mart…The maximum maximum of a martingale with given $\mathbf{n}$ marginals (2016)The maximum maximum of a mart…An explicit martingale version of the one-dimensional Brenier theorem (2016)An explicit martingale versio…Pathwise versions of the Burkholder–Davis–Gundy inequality (2015)Pathwise versions of the Burk…Martingale optimal transport in the Skorokhod space (2015)Martingale optimal transport …Probabilistic aspects of finance (2013)Probabilistic aspects of fina…ARBITRAGE BOUNDS FOR PRICES OF WEIGHTED VARIANCE SWAPS (2013)ARBITRAGE BOUNDS FOR PRICES O…An Explicit Martingale Version of Brenier's Theorem (2013)An Explicit Martingale Versio…Maximum Maximum of Martingales Given Marginals (2012)Maximum Maximum of Martingale…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)The Pricing of Options and Corporate Liabilities (1973)The pricing of commodity contracts (1976)Returns of claims on the upside and the viability of U-shaped pricing kernels☆ (2010)The Skew Risk Premium in the Equity Index Market (2013)Arbitrage and duality in nondominated discrete-time models (2015)Optimal Portfolio Selection with Transaction Costs and Finite Horizons (2002)The Fundamental Theorem of Asset Pricing under Proportional Transaction Costs in Finite Discrete Time (2003)Brownian Motion and Stochastic Calculus (2007)Theory of Value (1959)Implied Binomial Trees (1994)Resurrecting the (C)CAPM: A Cross‐Sectional Test When Risk Premia Are Time‐Varying (2001)A Theory of the Term Structure of Interest Rates (1985)Empirical Performance of Alternative Option Pricing Models (1997)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)The Cross‐Section of Volatility and Expected Returns (2006)Options and Efficiency (1976)Options, Futures, and Other Derivative Securities. (1990)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)A stochastic control approach to no-arbitrage bounds given marginals, with an application to lookback options (2014)The Pricing of Options on Assets with Stochastic Volatilities (1987)Differences of Opinion, Short-Sales Constraints, and Market Crashes (2003)Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options (2003)Do Stock Prices and Volatility Jump? Reconciling Evidence from Spot and Option Prices (2004)Martingales and arbitrage in multiperiod securities markets (1979)Martingales and stochastic integrals in the theory of continuous trading (1981)Option pricing and Esscher transform under regime switching (2005)A Guided Tour through Quadratic Hedging Approaches (2010)Numerical Solution of Stochastic Differential Equations with Jumps in Finance (2010)Option pricing: A simplified approach (1979)Option Replication in Discrete Time with Transaction Costs (1992)Optimal Investment and Consumption with Transaction Costs (1994)Exponential Hedging and Entropic Penalties (2002)
this work references cited by second hop

References

  • 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options8,768 cited
  • 1973Theory of Rational Option Pricing8,060 cited
  • 2005Theory of rational option pricing7,161 cited
  • 1978Prices of State-Contingent Claims Implicit in Option Prices2,209 cited
  • 1998Implied Volatility Functions: Empirical Tests1,248 cited
  • 1990Hedging of contingent claims under incomplete information736 cited
  • 1989Optimal replication of contingent claims under transaction costs605 cited
  • 1996HEDGING AND PORTFOLIO OPTIMIZATION UNDER TRANSACTION COSTS: A MARTINGALE APPROACH12317 cited
  • 1998Static Hedging of Exotic Options286 cited
  • 1998Robust hedging of the lookback option279 cited
  • 2010Liquidity Risk and Arbitrage Pricing Theory273 cited
  • 2004The Skorokhod embedding problem and its offspring255 cited
  • 2010The Skorokhod Embedding Problem and Model-Independent Bounds for Option Prices224 cited
  • 1997An Asymptotic Analysis of an Optimal Hedging Model for Option Pricing with Transaction Costs223 cited
  • 2006THE RANGE OF TRADED OPTION PRICES205 cited

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1995
Static Options Replication
191 cited

Cited by

  • 2016An explicit martingale version of the one-dimensional Brenier theorem75 cited
  • 2013ARBITRAGE BOUNDS FOR PRICES OF WEIGHTED VARIANCE SWAPS73 cited
  • 2019Computational methods for martingale optimal transport problems64 cited
  • 2016The maximum maximum of a martingale with given $\mathbf{n}$ marginals57 cited
  • 2019Pointwise Arbitrage Pricing Theory in Discrete Time55 cited
  • 2015Martingale optimal transport in the Skorokhod space53 cited
  • 2015Pathwise versions of the Burkholder–Davis–Gundy inequality39 cited
  • 2017Pathwise superreplication via Vovk’s outer measure32 cited
  • 2016Tightness and duality of martingale transport on the Skorokhod space31 cited
  • 2012Maximum Maximum of Martingales Given Marginals31 cited
  • 2013An Explicit Martingale Version of Brenier's Theorem30 cited
  • 2018Model-Free Portfolio Theory and Its Functional Master Formula27 cited
  • 2013Probabilistic aspects of finance24 cited