Robust Hedging of Barrier Options

By H. Brown, David Hobson *, L. Rogers. 2001

168 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/8fc8f35116dc99763acaab7dd5fa75edd95589c4

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Citations in the corpus

The maximum maximum of a martingale with given $\mathbf{n}$ marginals (2012, methodology): “The embedding construction was tailored as to provide a model in which the optimal super-hedge is in fact a perfect hedge, see Section 4 for details.”
Martingale optimal transport in the Skorokhod space (2014, result): “The structure studied in this paper is similar to that of [19] and also of [6, 9, 10, 11, 13, 14, 15, 18, 21, 22, 23, 24, 25, 27].”
Static-arbitrage upper bounds for the prices of basket options (2005, background): “For example, Hobson (1998) considers model-independent bounds on the price of a lookback option, and Brown et al. (2001) and Hodges and Neuberger (1998) consider barrier options.”
The minimum maximum of a continuous martingale with given initial and terminal laws (2002, methodology): “The result is applied to the robust hedging of a forward start digital option.”
Martingale optimal transport and robust hedging in continuous time (2012, result): “This approach was further developed by Brown, Hobson and Rogers [5] and Cox and Obloj [7] and in several other papers.”
Arbitrage and duality in nondominated discrete-time models (2013, background): “Starting with [10, 12, 32], one branch of this literature is devoted to nding explicitly a model-independent semi-static hedging strategy for a speci c claim, such as a barrier option, when a speci c family of options can be traded, such as call options at speci c maturities.”
The Skorokhod Embedding Problem and Model-Independent Bounds for Option Prices (2011, background): “(Conversely, see Brown et al. [ 9 ], and Example 5 above, in some special cases the upper and lower bounds coincide, and there is a unique model-independent no-arbitrage price for the exotic option.) However, each bound is associated with a model which achieves the bound, and by investigating featur”
An Explicit Martingale Version of the One-Dimensional Brenier's Theorem with Full Marginals Constraint (2016, unknown): “Finally, as an application to financial mathematics, our results give the model-independent optimal lower and upper bounds for variance swaps.”