摘要翻译：
双重无接触期权是一种合约，只要标的资产保持在给定的区间内，就可以支付固定的金额，这种合约在外汇市场上交易非常普遍，尤其是在外汇市场。在这项工作中，我们建立了这些期权价格的无模型的边界，基于更多的清算交易期权（看涨期权和数字看涨期权）的价格。关键步骤是构造超级套期保值策略和次级套期保值策略来确定边界，使用Skorokhod嵌入技术来显示边界是最好的。除了建立严格的界限之外，我们还仔细考虑了在没有{\It先验}已知概率测度的情况下套利的含义。我们讨论了套利概念的两个自然扩展：弱套利和风险消失的弱免费午餐，这两个扩展是建立缺乏套利和市场模型存在的等价性所必需的。
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英文标题：
《Robust pricing and hedging of double no-touch options》
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作者：
Alexander M.G. Cox, Jan Obloj
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最新提交年份：
2009
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Pricing of Securities        证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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英文摘要：
  Double no-touch options, contracts which pay out a fixed amount provided an underlying asset remains within a given interval, are commonly traded, particularly in FX markets. In this work, we establish model-free 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 {\it 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.
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PDF链接：
https://arxiv.org/pdf/0901.0674