caa a22 4500 445363193 CHVBK 20180317142921.0 cr unu---uuuuu 170323e20110901xx s 000 0 eng 10.1007/s00780-011-0154-z doi (NATIONALLICENCE)springer-10.1007/s00780-011-0154-z Robust pricing and hedging of double no-touch options [Elektronische Daten] [Alexander Cox, Jan Obłój] Double no-touch options are contracts which pay out a fixed amount provided an underlying asset remains within a given interval. In this work, we establish model-independent bounds on the price of these options based on the prices of more liquidly traded options (call and digital call options). Key steps are the construction of super- and sub-hedging strategies to establish the bounds, and the use of Skorokhod embedding techniques to show the bounds are the best possible. In addition to establishing rigorous bounds, we consider carefully what is meant by arbitrage in settings where there is no a priori known probability measure. We discuss two natural extensions of the notion of arbitrage, weak arbitrage and weak free lunch with vanishing risk, which are needed to establish equivalence between the lack of arbitrage and the existence of a market model. Springer-Verlag, 2011 Double no-touch option nationallicence Robust pricing and hedging nationallicence Skorokhod embedding problem nationallicence Weak arbitrage nationallicence Weak free lunch with vanishing risk nationallicence Model-independent arbitrage nationallicence Cox Alexander Department of Mathematical Sciences, University of Bath, BA2 7AY, Bath, UK aut Obłój Jan Mathematical Institute and Oxford-Man Institute of Quantitative Finance, University of Oxford, 24-29 St. Giles, OX1 3LB, Oxford, UK aut Finance and Stochastics Springer-Verlag 15/3(2011-09-01), 573-605 0949-2984 15:3<573 2011 15 780 https://doi.org/10.1007/s00780-011-0154-z text/html Onlinezugriff via DOI 1 research-article jats NATIONALLICENCE 856 40 https://doi.org/10.1007/s00780-011-0154-z text/html Onlinezugriff via DOI NATIONALLICENCE 700 1- Cox Alexander Department of Mathematical Sciences, University of Bath, BA2 7AY, Bath, UK aut NATIONALLICENCE 700 1- Obłój Jan Mathematical Institute and Oxford-Man Institute of Quantitative Finance, University of Oxford, 24-29 St. Giles, OX1 3LB, Oxford, UK aut NATIONALLICENCE 773 0- Finance and Stochastics Springer-Verlag 15/3(2011-09-01), 573-605 0949-2984 15:3<573 2011 15 780 Metadata rights reserved Springer special CC-BY-NC licence nationallicence BK010053 XK010053 XK010000 NATIONALLICENCE NATIONALLICENCE NL-springer