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PERFORMANCE OF ROBUST HEDGES FOR DIGITAL DOUBLE BARRIER OPTIONS - MaRDI portal

PERFORMANCE OF ROBUST HEDGES FOR DIGITAL DOUBLE BARRIER OPTIONS (Q5389100)

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scientific article; zbMATH DE number 6027854
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PERFORMANCE OF ROBUST HEDGES FOR DIGITAL DOUBLE BARRIER OPTIONS
scientific article; zbMATH DE number 6027854

    Statements

    title
    PERFORMANCE OF ROBUST HEDGES FOR DIGITAL DOUBLE BARRIER OPTIONS (English)
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    author
    Jan Obłój
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    Frédérik Ulmer
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    publication date
    24 April 2012
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    zbMATH Keywords
    robust hedging
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    evaluation of hedging strategies
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    Skorokhod embedding
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    digital double barrier option
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    Identifiers

    zbMATH DE Number
    6027854
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    OpenAlex ID
    W2143941289
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