NO-ARBITRAGE BOUNDS ON TWO ONE-TOUCH OPTIONS

DOI10.1142/S0219024915500211zbMath1337.91112OpenAlexW3122506355MaRDI QIDQ5256840

Yukihiro Tsuzuki

Publication date: 29 June 2015

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024915500211

zbMATH Keywords

super-replicationpricing boundsBarrier optionmodel-independentone-touch option

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• Robust pricing and hedging of double no-touch options
• Model-independent hedging strategies for variance swaps
• Robust hedging of the lookback option
• Robust Hedging of Barrier Options
• A class of Lévy process models with almost exact calibration to both barrier and vanilla FX options
• Robust Hedging of Double Touch Barrier Options
• THE RANGE OF TRADED OPTION PRICES
• ROBUST BOUNDS FOR FORWARD START OPTIONS
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options

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